granger
Show Granger causality between two timeseries
Usage
granger [-t Available time series] [-l LAGS] [-c CONFIDENCE]
Parameters
| Name | Description | Default | Optional | Choices |
|---|---|---|---|---|
| ts | Requires two time series, the first time series is assumed to be Granger-caused by the second time series. | None | True | None |
| lags | How many lags should be included | 3 | True | None |
| confidence | Set the confidence level | 0.05 | True | None |
Examples
2022 Jun 01, 06:35 (🦋) /econometrics/ $ load strikes
2022 Jun 01, 06:36 (🦋) /econometrics/ $ granger strikes.duration,strikes.iprod
Granger Causality Test [Y: strikes.duration | X: strikes.iprod | Lags: 3]
┏━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━┳━━━━━━━┳━━━━━━┓
┃ ┃ F-test ┃ P-value ┃ Count ┃ Lags ┃
┡━━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━╇━━━━━━━╇━━━━━━┩
│ ssr_ftest │ 0.81 │ 0.49 │ 52.00 │ 3.00 │
├──────────────┼────────┼─────────┼───────┼──────┤
│ ssr_chi2test │ 2.75 │ 0.43 │ - │ 3 │
├──────────────┼────────┼─────────┼───────┼──────┤
│ lrtest │ 2.69 │ 0.44 │ - │ 3 │
├──────────────┼────────┼─────────┼───────┼──────┤
│ params_ftest │ 0.81 │ 0.49 │ 52.00 │ 3.00 │
└──────────────┴────────┴─────────┴───────┴──────┘
As the p-value of the F-test is 0.495, we can not reject the null hypothesis at the 0.05 confidence level.