four tests for granger causality of 2 timeseries
all four tests give similar results params_ftest and ssr_ftest are equivalent based of F test which is identical to lmtest:grangertest in R
Parameters : | x : array, 2d, (nobs,2)
maxlag : integer
verbose : bool
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Returns : | results : dictionary
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Notes
TODO: convert to class and attach results properly
The Null hypothesis for grangercausalitytests is that the time series in the second column, x2, Granger causes the time series in the first column, x1. This means that past values of x2 have a statistically significant effect on the current value of x1, taking also past values of x1 into account, as regressors. We reject the null hypothesis of x2 Granger causing x1 if the pvalues are below a desired size of the test.
‘params_ftest’, ‘ssr_ftest’ are based on F test
‘ssr_chi2test’, ‘lrtest’ are based on chi-square test