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---------

Co-authored-by: jose-donato <zmcdonato@gmail.com>
Co-authored-by: jose-donato <43375532+jose-donato@users.noreply.github.com>
Co-authored-by: andrewkenreich <andrew.kenreich@gmail.com>
2023-10-30 21:01:29 +00:00

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title, description, keywords
title description keywords
granger This is a documentation page for Granger causality command in econometrics. The command is used for analyzing the cause between two-time series. The page also provides usage examples and parameters detail.
Granger causality
time series analysis
Econometrics
Command documentation
Statistical command

import HeadTitle from '@site/src/components/General/HeadTitle.tsx';

Show Granger causality between two timeseries

Usage

granger [-t Available time series] [-l LAGS] [-c CONFIDENCE]

Parameters

Name Description Default Optional Choices
ts Requires two time series, the first time series is assumed to be Granger-caused by the second time series. None True None
lags How many lags should be included 3 True None
confidence Set the confidence level 0.05 True None

Examples

2022 Jun 01, 06:35 (🦋) /econometrics/ $ load strikes

2022 Jun 01, 06:36 (🦋) /econometrics/ $ granger strikes.duration,strikes.iprod

Granger Causality Test [Y: strikes.duration | X: strikes.iprod | Lags: 3]
┏━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━┳━━━━━━━┳━━━━━━┓
┃              ┃ F-test ┃ P-value ┃ Count ┃ Lags ┃
┡━━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━╇━━━━━━━╇━━━━━━┩
│ ssr_ftest    │ 0.81   │ 0.49    │ 52.00 │ 3.00 │
├──────────────┼────────┼─────────┼───────┼──────┤
│ ssr_chi2test │ 2.75   │ 0.43    │ -     │ 3    │
├──────────────┼────────┼─────────┼───────┼──────┤
│ lrtest       │ 2.69   │ 0.44    │ -     │ 3    │
├──────────────┼────────┼─────────┼───────┼──────┤
│ params_ftest │ 0.81   │ 0.49    │ 52.00 │ 3.00 │
└──────────────┴────────┴─────────┴───────┴──────┘

As the p-value of the F-test is 0.495, we can not reject the null hypothesis at the 0.05 confidence level.