statsmodels.tsa.vector_ar.vecm.VECMResults.test_granger_causality¶
-
VECMResults.
test_granger_causality
(caused, causing=None, signif=0.05)[source]¶ Test for Granger-causality.
The concept of Granger-causality is described in chapter 7.6.3 of [1]. Test H0: “The variables in causing do not Granger-cause those in caused” against H1: “causing is Granger-causal for caused”.
- Parameters
- caused
int
orstr
or sequenceof
int
orstr
If int or str, test whether the variable specified via this index (int) or name (str) is Granger-caused by the variable(s) specified by causing. If a sequence of int or str, test whether the corresponding variables are Granger-caused by the variable(s) specified by causing.
- causing
int
orstr
or sequenceof
int
orstr
or None, default: None If int or str, test whether the variable specified via this index (int) or name (str) is Granger-causing the variable(s) specified by caused. If a sequence of int or str, test whether the corresponding variables are Granger-causing the variable(s) specified by caused. If None, causing is assumed to be the complement of caused (the remaining variables of the system).
- signif
float
, 0 < signif < 1,default
5 % Significance level for computing critical values for test, defaulting to standard 0.05 level.
- caused
- Returns
References
- 1
Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.