statsmodels.tsa.vector_ar.vecm.VECMResults.test_granger_causality

method

VECMResults.test_granger_causality(caused, causing=None, signif=0.05)

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

causedint or str or sequence of int or str

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.

causingint or str or sequence of int or str 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).

signiffloat, 0 < signif < 1, default 5 %

Significance level for computing critical values for test, defaulting to standard 0.05 level.

Returns

resultsstatsmodels.tsa.vector_ar.hypothesis_test_results.CausalityTestResults

References

1(1,2)

Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.