VECMResults.test_inst_causality(causing, signif=0.05)
[source]
Test for instantaneous causality.
The concept of instantaneous causality is described in chapters 3.6.3 and 7.6.4 of [1]. Test H0: “No instantaneous causality between the variables in caused
and those in causing
” against H1: “Instantaneous causality between caused
and causing
exists”. Note that 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.
Parameters: |
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Returns: |
results |
Return type: |
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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 [1]) whereas JMulTi
seems to be using a VAR(k_ar+1) model. Reducing the lag order by one in JMulTi
leads to equal results in statsmodels
and JMulTi
.
[1] | (1, 2) Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer. |
© 2009–2012 Statsmodels Developers
© 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_inst_causality.html