VARResults.test_causality(caused, causing=None, kind='f', signif=0.05)
[source]
Test Granger causality
Parameters: |
|
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Null hypothesis is that there is no Granger-causality for the indicated variables. The degrees of freedom in the F-test are based on the number of variables in the VAR system, that is, degrees of freedom are equal to the number of equations in the VAR times degree of freedom of a single equation.
Test for Granger-causality as described in chapter 7.6.3 of [1]. Test H0: “causing
does not Granger-cause the remaining variables of the system” against H1: “causing
is Granger-causal for the remaining variables”.
Returns: | results |
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Return type: | CausalityTestResults |
[1] | Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer. |
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© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.vector_ar.var_model.VARResults.test_causality.html