# Questions tagged [granger-causality]

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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### Can one determine the number of forecast/prediction steps in a VAR on a priori grounds?

Context of my question: I am running a vector autoregression (VAR) model using two time-series of equal length (n ~ 750 data points). The lag was chosen based on the Bayes information criterion (BIC) ...
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### Why can we use RMSE as a proxy for the effect size of a VAR or Granger Causality?

My question here follows a previous question by me here: Is there a meaningful option to compute something like an effect size for Granger Causality?. In this previous question I asked for options to ...
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### Is there a meaningful option to compute something like an effect size for Granger Causality?

I am running Granger Causality (GC) analysis using statsmodels.tsa.stattools.grangercausalitytests between several time-series pairs. The time-series pairs used for ...
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### Granger causality test with I(1) and I(2) variables

I have two time series variables for daily financial data: "A" is I(1) and "B" is I(2). After log-differencing once and twice, respectively, to make them stationary, I obtained &...
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### Is my approach to compute Granger causality valid?

I have two time-series, let us call them A (colored in red) and B (colored in blue). There are ~770 data points per time-series. Note: Both time-series are in fact not the recorded raw signals, but ...
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### longitudinal causal mediation analysis with recall periods

I am new to causal mediation analysis (using longitudinal data), and trying to learn best practices. I have tried to read some methods reviews -- e.g. Preacher2015, O'Laughlin2018, Assaad2022 -- but ...
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### Causality analysis in time series

I'm trying to do a time series analysis, but I'm new to this topic and I need help. I have a multivariable time series and I would like to do an analysis of the relationship between them. I have done ...
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### FAVAR model, stationarity and Toda & Yamamoto

To overcome the problems of non-starionarity and cointegration between variables, Toda and Yamamoto (1995) suggested to estimate a VAR with a number of lags sufficient to avoid the problem of ...
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### Outputs of Granger causality and FEVD are opposite of each other

This is regarding cointegration or VAR analysis of bivariate systems. The Granger causality will either say that instrument 1 (say fund) and instrument 2 (say index) are either not Granger causing ...
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### Can I compute a VAR Model and then work on only one OLS equation?

Good morning, I'm trying to estimate a VAR model between six variables and one of them is the price of copper. What I'm interested in is only the equation of the copper prices and i'm running a VAR ...
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### F-statistic and p-values plots with lag

I am currently working on multivariate predictive models and have generated several diagrams to represent F-statistics and p-values for different models across various lags. I would greatly appreciate ...
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### Several python libraries for causal impact analysis based on R causal impact but which one should I use? [closed]

My question: I liked the Google causalimpact package in R and want to do the same work in Python. Which package should I use? The very first library I saw is a port of Google's R causal impact package,...
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### Causal inference on time-series data: is intervention needed?

I'm working on the topic of causal inference, I use time-series data. I have two scenarios in front of me and I don't understand the difference: Given X and Y "time" features. I would like ...
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### In VAR model, can I include not-granger-causing variables in impulse response anaysis?

In a VAR model, I have 6 endogenous variables(X: dependent, others: independent) Having run Granger Causality test, I found that only 2 independent variables granger cause X. Can I include other 3 ...
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### Granger causality does not imply a pair of integrated time series are cointegrated: an example

If a pair of integrated time series $\{X_t\}$ and $\{Y_t\}$ are cointegrated, at least one of them must Granger-cause the other. Is the converse also true? I guess not, but I am struggling to come up ...
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### How to deal with cross-elasticity and time series for optimal pricing with causal inference?

I have a problem in which the prices of an "item" will change for specific hours of the day. I was leveraging the concept of price elasticity, which includes the self- and cross-elasticity ...
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### Granger Causality Test Derivation

Can anyone recommend a very good textbook or PDF with a full, complete and detailed derivation of the statistical distribution under the null hypothesis of the original Granger Causality Test? I'm ...
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### Should the RMSE of an unrestricted VAR model decrease as compared to a restricted Autoregression model when there is Granger Causality

I have 2 time series, say for instance, T1 and T2. T1 granger causes T2 at lag 2. Should this mean that if I make a VAR model with these two time series, and an autoregression model with just T2, the ...
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### Should the RMSE of the unrestricted (VAR) model for a time series that is being Granger caused by another be lesser than its restricted counterpart?

I have a couple of time series, say, T1 and T2. I have established (using the grangercausalitytest library of Statsmodels in ...
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### Multiple Linear Regression Predictions with Macroeconomic Indicators

We are given some commodity (steel, copper etc.) price predictions made by the following steps: Finding the correlations between the commodity price data and macroeconomic indicators Selecting a set ...
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### For checking stationarity for applying Granger Causality Test, should the range of both the time series be same?

I have 2 time series - one is for scores of people in a survey and the other for the sales of a product for 10 distinct countries. The survey data is categorized into 3 categories for each country. So,...
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### Granger-Causality test result interpretation

I have fitted a VAR model to first-differenced financial data, and conducted a Granger-Causality test on stationary data. The results can be seen below: The above results show that only one variable ...
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### Trade-offs when building VAR models

I am trying to build my first VAR model, consisting of three time series, for forecasting and have gotten quite far. I have made all the tests and comparing models indcluding different lags, different ...
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### Help to understand the result in Granger Test

I'm using the Granger test from package lmtest in R This is the test grangertest(dados$Publico_Total ~ dados$Classificacao) I receive this result ...
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### X does not Granger cause Y and Y does not Granger cause X

Is it possible to have no causal relationship between two variable? Example: X does not granger cause Y and Y does not granger cause X. Are these results okay or there are might be an error in the ...
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### Can I use Granger causality to determine if the high prices in stock exchange data are affecting the closing prices?

I am looking for an algorithm that can show whether the features in a time series data have any causal relationship. Can we use Granger causality to determine causal relationship in a multivariate ...
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### Multi-variate panel regression: How to model the effects of multiple independent variables on groups of dependent variables?

I have the following hypothetical data on U.S. treasury interest rates and AAA and CCC bond rates for several companies. The main aim is to find out whether and to what extent U.S. treasury rates ...
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### When we say extract a causal DAG from a multivariate time series, what does it actually mean?

I am from CS background and as part of my PhD, I am doing a project where I need to used causal inference to construct a causal DAG (directed acyclic graph) from a multivariate time series data. As I ...
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### VAR estimation insignificant, BUT GC and IRF significant

i have a large dataset (~3,000 datapoints, 6H interval) on Twitter and Bitcoin Data and try to estimate the effect of tweets on price changes / trading volume of Bitcoin. Therefore, i run a VAR model ...
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### Granger causality test for interleaved and irregular time series

I am very new to time series analysis. Please help me if the following analysis and interpretation are wrong. Thank you! I have a time series with two different events, as in the following ...
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### Granger Causality test results interpretation

I've done all the pre-processing on my data and am conducting Granger causality using statsmodels. However, I am confused as to how to interpret the significance of the results when I have multiple ...
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### vector error correction model results

First i checked the cointegration using Johansen. After that i estimated a VECM model using both b_r and b_f as the left hand variable and it gave me different results. the error correction term are ...
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### What does it mean when a variable consistently has high significance in smaller lag but low significance with bigger lag in Granger causality test?

I am testing the Granger causality from a number of variables to a number of stock index return (daily variable). I found that one of the variables (calling it Variable A) always have high ...
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### What kind of statistical test might be used to if two datasets contain a non-zero lag or lead hierarchically?

I am aware of Granger causality, cross correlation, and simple methods of computing correlation at each lag/lead timestep. However, I have a dataset with 1000s of users each with a potential lag/lead ...
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### Is vector-autoregression applicable to two series with Granger causality and cross-correlation that has multiple modes, both negative and positive?

Is the vector-autoregression applicable to two series with Granger causality or stationary series where the cross-correlation plot is negative at some parts and also positive in others? If that's the ...
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### What is the null hypothesis in a multivariate Granger causality test (MVGC) test?

What is the null hypothesis in a multivariate Granger causality test? Is it that one series does not cause any of the n-series, or that n-series do not cause one particular series? https://...
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### Should one examine the cross-correlation plot to rule out performing Granger causality test?

Should one look at cross-correlation plot before performing Granger causality test to avoid type I errors? If we can't find any dependence between two series from the cross-correlation plot, then ...
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### Hosking test vs Granger Causality for VAR - to use or not to use?

Let's say that we have 2 stationary time series: X and Y. Granger's causality test outputs no granger causality between them, however Hosking cross-correlation test proves there is a relationship ...
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### Why is Granger test implication different from significances of coefficients?

I am running a simple Granger causality test on a VAR(4) model. I obtain the following coefficients for it ...
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### Does one network predict the other?

Here is my problem: I have two undirected networks, $G1$ and $G2$ which change over time The nodes in each network are identical The edges are always constrained between 0 and 1 I want to know ...
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### Inferring Causal Direction

Suppose I have time series data for two variables, X and Y. Assume that I am already convinced that there is a causal relationship between the two, but that I am unsure of the direction. Also assume ...
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### Granger causality to measure causality strength

It is possible to use the Granger causality (GA) test to measure the strength of the causal relation between two time series? More specifically, if we have 3 time series A, B, and C and we have: p-...
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### Where to find textbook with Toda Yamamoto causality test example?

I'm trying to create a Toda Yamamoto analysis on a VAR system, for Granger causality test, so far i only find a book where is mentioned: Levendis, J. D. (2018). Time Series Econometrics: Learning ...
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### How to anticipate whether a multivariate model will perform better than separate univariate models?

As the title says, I would like to know if there are any statistics or methods to check if a group of time series is multiple (i.e., independent) or multivariate (i.e., in the sense that they show ...
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### Combining several granger causality tests

I have two time series and I am testing them with gragner. The problem is that it's not continuous, one timeseries is constant while the other one has half of the time data. Example: yes = has data, ...
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### Granger Causality and F statistic

I am trying to educate myself in Granger Causality reading the classic literature. From what I have understood the idea is quite simple: first, to test if $X_t$ Granger causes $Y_t$ we define two ...
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### Can there exist a unit root series that’s Granger-caused, or better predicted with a model other than the AR process we tested using ADF?

If a series has a unit root, then it is a function of random white noise. Therefore, it follows a random walk process. Is it then possible for: Some other series to Granger-cause the unit root series?...
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### Can I run individual Granger Causality tests after doing Dumitrescu & Hurlins panel tests?

As a non-statistician, I want to run the Granger causality approach proposed by Hurlin and Dumitrescu. On page 3 the authors note three tests: Homogenous Non-Causality (HNC), Homogenous Causality (HC),...