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:¶

causing : list of str¶

This list contains the potentially causing variables.

caused : list of str¶

This list contains the potentially caused variables.

test_statistic : float¶

crit_value : float¶

pvalue : float¶

df : int¶

Degrees of freedom.

signif : float¶

Significance level.

test='granger'¶

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

method=None¶

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

Methods

summary()

Return summary