Test for instantaneous causality
results – A dict holding the test’s results. The dict’s keys are:
Test for instantaneous causality as described in chapters 3.6.3 and 7.6.4 of . Test H0: “No instantaneous causality between caused and causing” against H1: “Instantaneous causality between caused and causing exists”.
Instantaneous causality is a symmetric relation (i.e. if causing is “instantaneously causing” caused, then also caused is “instantaneously causing” causing), thus the naming of the parameters (which is chosen to be in accordance with test_granger_causality()) may be misleading.
This method is not returning the same result as JMulTi. This is because the test is based on a VAR(k_ar) model in statsmodels (in accordance to pp. 104, 320-321 in ) whereas JMulTi seems to be using a VAR(k_ar+1) model.
|||(1, 2) Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.|
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