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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 : https://www.mathworks.com/matlabcentral/fileexchange/25467-granger-causality-test/content/granger_cause.m

On running it, I got the following answer:

>> [fs,cv] = granger_cause(P, T,0.05,2)

fs =

  1.0281e+003


cv =

    2.9966

where FS is the F-Statistic and cv is the critical value from the F-Distribution.

Does this show causality? Actually... what does it show?

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  • $\begingroup$ In the source file, it is reported that "Note that if F > c_v we reject the null hypothesis that y does not Granger Cause x". Please clarify your question if it is not a MATLAB issue but rather a statistical question. $\endgroup$
    – chl
    Oct 28 '13 at 8:10
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FS > critical value, which means that the result rejects the null hypothesis(T didn't granger caused P). Or simply, T caused P.

I think the parameter for calculating the F statistics is weird and just wrote a post asking the author.

http://www.mathworks.co.jp/matlabcentral/fileexchange/25467-granger-causality-test

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