VARResults.test_causality(caused, causing=None, kind='f', signif=0.05)
Test Granger causality
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 . Test H0: “
causing does not Granger-cause the remaining variables of the system” against H1: “
causing is Granger-causal for the remaining variables”.
|||Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.|
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