# Applying ensemble modelling to VAR models

It is ok to apply ensemble modeling to VAR models? I mean, using several specifications of the VAR model instead of just one specification. So, for example, if you want to check that $$x_{t-1},...,x_{t-p}$$ granger causes $$y_t$$, you compare results across the different specifications. If you have 5 specifications and 4 of them say yes, and 1 says no, then we conclude that $$x_{t-1},...,x_{t-p}$$ granger cause $$y_t$$. If 4 of the specifications say no, and 1 says yes, we conclude that $$x_{t-1},...,x_{t-p}$$ do not granger cause $$y_t$$. This idea is from machine learning. Not sure if there is a paper out there that has used something similar.