# Tagged Questions

Granger causality exists when past values of a variable $X$ contains information about another variable $Y$ beyond the information in past values of $Y$.

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### Test for granger causality after fitting a GARCH(1,1)

I have two time series, where i wish to test for Granger causality of lagged values of $x$ on $y$, $y$ is changed to "rate-return" and $x$ is the positive or negative "rate-return", that is everywhere ...
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### Choosing significance level alpha and max_lag for Granger causality

I am really new to Granger Causality and am just rabidly experimenting with this MATLAB function: granger_cause(x,y,alpha,max_lag) ...
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### Granger Causality Testing With Panel Data

I'm trying to apply a Granger Causality test to panel data. I've found enough literature to understand that topic. However, I've been unable to find and R package to carry out that analysis. I'm ...
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### Cointegration but no Granger-Causality found

I have found Cointegration based on Engle/ Granger and Johansen. However, Granger-causality is rejected for both variables. How is that possible? According to theory, if x and y are I(1) and ...
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### Is this test answer good enough to show Granger Causality?

I used an inbuilt Matlab function to check for Granger Causality between two time series P and T that have a correlation coefficient of 0.6. The function is : ...
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### Determining suitable time lag in Granger causality test

In order to determine the right time lag for the Granger causality test, I applied a cross correlation function (CCF) among EU and National legislation and the CCF figure is attached. I would be ...
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### How to run a Granger Causality Test with Stata

I'm doing a study on the determinants of FDI (Foreign Direct Investment) in the ASEAN countries. Before doing a panel data analysis, I'd like to run a Granger Causality Test between the potential FDI ...
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### Relationship between cointegration and causality in a VAR/VECM model

I am asking myself how cointegration and causality are related in a VAR/VECM model. Suppose you have two $I(1)$ variables in your 2 dim VAR process which are cointegrated, so there is one ...
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### Group statistics based on individual Granger-Causality Results

I am analyzing how external influences affect the activity of individuals in subgroups over time. To do so I calculate Grangers-causality test for every individual within the groups. My question now ...
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### adf.test returning p-value > 0.99 even when data is stationary

I have a pair of time series that I differenced and now take on values {-1, -0.5, 0, 0.5, 1}. My goal is to test them for Granger causality and discover any lead/lag relationships. Since this ...
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### Multivariate Granger Causality models

Hi I am trying to run a Granger causality model as shown below, VAR(p+d) in levels:  Y_{t} = Y_{t-p-d}+X_{t-p-d}+Z_{t-p-d}+e_{t}\\X_{t} = Y_{t-p-d}+X_{t-p-d}+Z_{t-p-d}+e_{t}\\Z_{t} = ...
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### Granger Causality tests in panel models

I was wondering if there is a package/function for Panel Granger non-causality tests? I am interested in Toda-Yamamoto like procedure for panel models. Thank you,
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### Has Granger causality been used successfully in a industrial liability case?

Wikipedia claims that Granger causality is somewhat accepted as a way to prove event A caused event B. Has it ever been used to prove, for example, a company was responsible for industrial accident ...
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### granger causality - using a different lag than the one selected by ACF/PACF

I'm testing for causality between two series. PACF and ACF select lags that, when used, do not yield significance in the causality tests. Playing around with the lag I find that I get causality ...
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### Granger /Wald test interpretation

I have the following results from a Granger test. Can someone tell me how to interpret them? I understand that p.val(ue) < 0.05 is significant for rejecting the null hypothesis. BUT do ftest or ...
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### Interpreting F and p statistics from R grangertest results

I using Rs grangertest to do some granger causality testing. I'm testing a particular time series against an economic index time series and adjusting the lag in hopes of identifying the "best" ...
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### significanâ€‹t lags in causality test?

significanâ€‹t lags in causality test? [Cross-posted to R-Sig-Finance] Hi all, I have a question regarding Granger causality test. I have searched on Internet intensively and extensively and have used ...
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### Interpreting Granger causality test's results

I'm trying to educate myself on Granger Causality. I've read the posts on this site and several good articles online. I also came across a very helpful tool, the Bivariate Granger Causality - Free ...
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### What's statistic should I use to determine if Time Series A (economic) is a leading indicator of Time Series B (Sales)

I'm trying to utilize economic and industry data to forecast sales of industrial companies. I have numerous economic and industry indices and as a first step I would like to indentify those indices ...
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### Granger causality as a means of validation

I am busy validating a model for "run-off" using river flow information. I have approximately 5 years of daily data and have been looking at G-causes as an additional statistic to help explain the ...