statsmodels.tsa.vector_ar.hypothesis_test_results.CausalityTestResults¶

class statsmodels.tsa.vector_ar.hypothesis_test_results.CausalityTestResults(causing, caused, test_statistic, crit_value, pvalue, df, signif, test='granger', method=None)[source]¶

Results class for Granger-causality and instantaneous causality.

Parameters:¶

causinglist of str

This list contains the potentially causing variables.

causedlist of str

This list contains the potentially caused variables.

test_statisticfloat

crit_valuefloat

pvaluefloat

dfint

Degrees of freedom.

signiffloat

Significance level.

teststr {"granger", "inst"}, default: "granger"

If "granger", Granger-causality has been tested. If "inst", instantaneous causality has been tested.

methodstr {"f", "wald"}

The kind of test. "f" indicates an F-test, "wald" indicates a Wald-test.

Methods

summary()

Return summary