VECMResults.test_granger_causality(caused, causing=None, signif=0.05)
[source]
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
”.
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results |
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[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.vecm.VECMResults.test_granger_causality.html