The granger-causality tag has no wiki summary.
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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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1answer
25 views
adf.test returning p-value > 0.99 on series bounded by -1 and 1
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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1answer
43 views
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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75 views
weak exogeneity in VAR analysis
I have a problem interpreting the notion of "weak exogeneity in a VAR process". Assuming we have the following structural form:
$y_t = b_{12}z_t + \gamma_{11}y_{t-1} + \gamma_{12}z_{t-1} + ...
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An alternative to “Granger Causality” test when (short) time series are not stationary?
I have two short time series (x and y), and I wish to find out if x "effects" (is correlated with) y. Obviously, since the two are time series, using a simple correlation is the wrong way to go.
I ...
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2answers
172 views
compare two time series
I have two time series that come from the same system. One is taken from the whole system, and the other os taken from, say, 10% of the system. The two time series have the same frequency. Is there a ...
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129 views
Support vector machines and Granger causality
I was wondering if Granger causality would be an efficient tool for searching for relevant input data for an SVM system. For example if I want to forecast SP 500 returns, I could put in my input data ...
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Is the AIC/BIC different for different Granger causality directions?
If I have two possible Granger causality setups:
$A_t = intercept + \sum_{i=1}^p a_i L^i (A_t) + \sum_{i=1}^p b_i L^i (B_t) + e_t$
$B_t = intercept+\sum_{i=1}^p a_i L^i (A_t) + \sum_{i=1}^p b_i L^i ...
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99 views
“Granger Causality” testing endogenous variables?
We have arbitrary stationary time series variables $X_t$, $Y_t$ and $C_t$ (1,000 observations of each variable). The population equations that describe these processes are:
1) $Y_t = a_1 + b_1X_t + ...
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263 views
Lag length selection Granger causality test
Consider G-Causality on two stationary time series vectors (call these variables $X$ and $Y$), each with 100+ observations. It's daily financial market time series data. I have reason to believe that ...
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1answer
236 views
What causes extremely small p values in Granger causality test?
I am generating some Granger causality tests for various time-series. I have noticed something that appears odd. I have timeseries $A$ and $B$. Sample size is about 1500 elements in each.
$A$ and $B$ ...
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415 views
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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significan​t lags in causality test?
significan​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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1answer
2k views
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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1answer
114 views
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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292 views
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 ...
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124 views
How do I create a predictor for a time series once I've confirmed Granger-causality?
I have a set of time series data that I've found granger-causality (i.e. regressed Y vs. X, X-1, Y-1), and am wondering how I can create a predictor from this linear model? Is it simply the ...
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Interpretation of the Granger causality test
I would like to clarify how the Granger causality can/should be used in practice, and how to interpret the statistical significance given by the test.
Also, I would like to fill this table with ...
