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62 lines
2.6 KiB
Markdown
Vendored
62 lines
2.6 KiB
Markdown
Vendored
---
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title: granger
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description: This is a documentation page for Granger causality command in econometrics.
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The command is used for analyzing the cause between two-time series. The page also
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provides usage examples and parameters detail.
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keywords:
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- Granger causality
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- time series analysis
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- Econometrics
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- Command documentation
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- Statistical command
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---
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import HeadTitle from '@site/src/components/General/HeadTitle.tsx';
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<HeadTitle title="econometrics /granger - Reference | OpenBB Terminal Docs" />
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Show Granger causality between two timeseries
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### Usage
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```python
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granger [-t Available time series] [-l LAGS] [-c CONFIDENCE]
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```
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---
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## Parameters
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| Name | Description | Default | Optional | Choices |
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| ---- | ----------- | ------- | -------- | ------- |
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| ts | Requires two time series, the first time series is assumed to be Granger-caused by the second time series. | None | True | None |
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| lags | How many lags should be included | 3 | True | None |
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| confidence | Set the confidence level | 0.05 | True | None |
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---
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## Examples
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```python
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2022 Jun 01, 06:35 (🦋) /econometrics/ $ load strikes
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2022 Jun 01, 06:36 (🦋) /econometrics/ $ granger strikes.duration,strikes.iprod
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Granger Causality Test [Y: strikes.duration | X: strikes.iprod | Lags: 3]
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┏━━━━━━━━━━━━━━┳━━━━━━━━┳━━━━━━━━━┳━━━━━━━┳━━━━━━┓
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┃ ┃ F-test ┃ P-value ┃ Count ┃ Lags ┃
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┡━━━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━╇━━━━━━━╇━━━━━━┩
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│ ssr_ftest │ 0.81 │ 0.49 │ 52.00 │ 3.00 │
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├──────────────┼────────┼─────────┼───────┼──────┤
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│ ssr_chi2test │ 2.75 │ 0.43 │ - │ 3 │
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├──────────────┼────────┼─────────┼───────┼──────┤
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│ lrtest │ 2.69 │ 0.44 │ - │ 3 │
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├──────────────┼────────┼─────────┼───────┼──────┤
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│ params_ftest │ 0.81 │ 0.49 │ 52.00 │ 3.00 │
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└──────────────┴────────┴─────────┴───────┴──────┘
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As the p-value of the F-test is 0.495, we can not reject the null hypothesis at the 0.05 confidence level.
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```
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---
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