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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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VAR with stationary and non-stationary in R

I'm working on using Granger causality of some variables and I have 4 stationary time series (X1, X2, X3, X4) and one that is not (X5). I've seen here that If (A) then first-difference each of the ...
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Is it necessary to keep the regression model linear for checking the Granger-Causality relationships between the variables of a data-set?

For checking the Granger's Causality between two variables of a data-set, lets say to check X granger-causes Y, we create two regression models, a restricted model(containing the lagged values of ...
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Estimating lag order in Granger causality test

I have a weekly revenue from selling products, named Chicken and Egg. I am trying to understand whether purchasing Chicken Granger-causes customers to buy Egg or vice versa. I don't have a Ph.D. in ...
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Poor error control in hierarchical linear models with lagged, within-person-centered independent variables

I'm interested in assessing the performance of a multi-level model (aka hierarchical linear model, aka linear mixed effects model) when examining time-lagged associations. My interest is in making a ...
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How to interprete Granger test results?

The results of my Granger causality test in R are below. VARp is my VAR model and I have two endogenous variables. From the results, I have only instantaneous ...
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116 views

Is Granger causality still relevant?

Staying abreast with statistics publications is no small feat, but I did put effort into scoping out what causality papers were coming out. The most recent Granger causality paper I came across was ...
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ARCH effects on my VAR fit

I am estimating a VAR model to later understand the relationship between my physical prices and financial prices (I am working on commodities). I have followed the procedure below but I am not sure it ...
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15 views

Granger casuality automatic vs manual lag interpretation

I'm trying to measure the Granger causality in R of two vectors, with one vector lagged by n observations. There are two ways I considered doing this: ...
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37 views

Combining P-Values from multiple trials of the same experiment

this is my first question here, a little background about me, im a biomedical engineer, im studying a PhD in Neuroscience, and a Micromaster in Statistics and Data Science. Here in my lab, very few ...
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methods to find causality between 1000 time series

I have an eco-system of 100 applications which each are monitored by let's say 100 metrics publishing every 5 minutes. So my dataset has 10,000 time series. I want to build/learn the dependency graph ...
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How to get the explained variance by the added variable in Granger causality

To examine to variable X is a cause of variable Y, we did Granger causality, F test suggests that X causes Y. How do we get the percentage of variance of Y can be explained by X?
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How to estimate the coefficients and lag of a Granger's Causality Model?

I am trying to build a model using Granger's causality. How can we decide the coefficients of the model as well as the lag which can best fit data?
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How to establish and prove causality between two variables?

I want to establish causality between two variables/attributes of some time series data. Is there any method to prove and establish the causality mathematically?
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Causality tests between annually measured, longitudinal data and triennially measured cross-sectional data?

Background: I am currently working on a project to explore perceptions of firm growth barriers among top managers. The data is collected through a survey which has been conducted every third year, ...
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Which lags to select with a Wald test - Granger-causality

Say I have a VAR of the form $y = y_{t-1} + x_{t-1} + y_{t-2} + x_{t-2}$ When testing a VAR for Granger-causality does one apply the Wald test to the joint significance of all the lagged variables ...
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Granger Causality: Alternative Hypothesis for VAR

I know that if ALL the coefficients on the lagged values of, say, $y_2$ are $0$ in the equation for $y_1$, then $y_2$ fails to Granger cause $y_1$. Therefore, our null hypothesis for Granger ...
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Using granger causality test with dummy variable

I have a question whether Granger causality test can be performed if one of the variables is a dummy. I have two variables one continuous variable and then a dummy for an event that is 1 during the ...
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Are these Granger-causality F-tests equivalent?

I am comparing results of a Granger causality implementation I wrote in Python to the established package statsmodels, and noticed that the equation implemented has a scaling factor equal to the ...
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Meaning and interpretation of Transfer Entropy

I am a first-year undergrad student and I have been reading about Transfer Entropy for my research. Although I understand the math behind I am not really sure what the value means. For example, I run $...
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Does Granger causality imply superior forecasting with ADL over AR models?

I have two stationary time series, ts1 and ts2. I applied grangertest() in R and the result ...
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impact of reviews on sale

I have time series of demand data of products (units sold), price over time, promotions (yes/no) and number of reviews. I would like to assess the impact of number of reviews on sales. I came across ...
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R - Testing for Granger causality when OLS assumption are violated

I am using the vars package to estimate a VAR-model. Since it seems, that the residuals of my model are neither homoscedastic or uncorrelated I computed Newey West ...
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1answer
62 views

Is there a way to measure the effect of categorical factors?

Assume having a dataset composed of 3 source columns and 1 results column. Here I'd like to measure the effect of A, B from source3 based on the results. However, results column is also affected by ...
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Time series standardization

So, I'm studying and replicating the techniques applied in this paper. The paper uses the Granger causality test to perform association analysis between bitcoin's price fluctuation and bitcoin forum'...
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158 views

Did I interpret this Granger causality analysis correctly?

I ran my data set in EViews and I got this: My book says "[Clive] Granger suggested that to see if A granger-caused Y we would run (the equation) and test the 0 hypothesis that the coefficient of ...
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Can two variables with positive relationship but no Granger causality?

I ran FMOLS and VECM for cointegrating variables in Stata. The results suggest that the two variables have positive and significant relationship (result of FMOLS), but no long or short run Granger ...
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How to use the residual of FMOLS when conducting VECM in Stata

I am trying to figure out whether the results of FMOLS (cointreg command in Stata) has uni-directional or bi-directional Granger causality relationship. I have seen people do this in Eviews but not in ...
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583 views

Granger Causality Python

I am very news to statistics and have been learning some machine learning in one of my college degree modules. I am just looking for some information. I have a couple of time-series data sets that I ...
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263 views

Why use Granger causality instead of autoregression?

I'm working on an analysis on GDP growth. I want to test whether regional growth in GDP in a time frame can be explained by the growth of air traffic in a preceding period (and controlling for some ...
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1answer
93 views

How can I cross-check for Granger causality in a VAR model which doesn`t pass all the residual tests?

I developed a Vector Autoregression (VAR) model of the first differenced for 35 observations including 3 variables, the maximum lag length based on AIC and SC was determined as p=1. My main objective ...
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More null rejections than expected at confidence level. Multiple testing

The answer to this question has probably been answered multiple times but I'm lacking the right keywords to find the answer. I've tested on 24 time series Granger-causality from one series to the ...
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308 views

What should i do if my model has no cointegration between its variables at I (1) after using VAR for lag length selection?

My main objective is to test for Granger causality, my variables become stationary after first when test of ADF annd PP was applied.From my correlation analysis i detected a strong correlation between ...
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what can I interpret from the following Granger Causality test?

grangertest(FDI.Inflows.in.INR.crore~GDP.in.INR.Crore, data = GC) Granger causality test Model 1: FDI.Inflows.in.INR.crore ~ Lags(FDI.Inflows.in.INR.crore, 1:1) + Lags(GDP.in.INR.Crore, 1:1) Model 2: ...
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The role of Granger causality in VAR/VECM model selection

How exactly does identification of Granger Causality (or lack of) between variables affect my decision for what variables to include in my VAR or VECM model? The motivation behind the question is ...
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67 views

Granger causality eviews

I am writing a dissertation on the causality between the macro economy of the UK and its construction output using EViews. However I get stuck at some point during my tests and I would appreciate if ...
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84 views

Contribution of regressors in regression with ARMA error

I am trying to forecast 'Patients' by fitting linear regression with ARMA error (auto.arima, Xreg) with 5 regressors. 'patients' and all 5 regressors have seasonality. 1) Is there any way to quantify ...
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Granger causality for multiple time series [closed]

I am attempting a Granger causality test for two variables describing an individual's performance on a test. In other words, do changes in X over time cause changes in Y. That analysis is simple ...
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Effect size for r lmtest grangertest? [closed]

Is it possible to get an effect size calculation for grangertest in package lmtest? I could calculate it by hand, but the output only gives the F value, not the component sums of squares: ...
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1answer
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Inflation forecasting: In-sample-fit vs pseudo out-of-sample fit vs Granger causality

I am currently testing several VAR models to forecast inflation. All VAR models contain the same variables, the only thing that differs are the number of lags. Since I am forecasting, I reckon the ...
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169 views

Is multivariate Granger-causality possible? Do I proceed as with univariate?

Basically, I have five time series. All are stationary. Now, let's call them $Y$, and $X_1$ to $X_4$. Normally you'd do $$ Y_{t} = \alpha + \beta_1 Y_{t-1} + \beta_2 X_{1,t-1} + \epsilon $$ and ...
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1answer
318 views

Granger causality and cointegration

I have two time series, which are both I(1). I run an ADLM(4) model and compared it with a DLM(4) model (unidirectional: Does X granger causes y?), but the statistic was not significant. Therefore, X ...
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1answer
72 views

Can removing autocorrelation problem automatically removes causality problem?

I have a panel data which had autocorrelation problem. I used cochrane orcutt method to remove autocorrelation problem with this data. If so, does this also mean that I removed the causality problem ...
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41 views

Particular cases in Granger's causality test

I'd like to expand a question about Granger's causality test by focusing on some particular cases one may happen to encounter. I have two time series x and ...
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50 views

detect if time series follow/lead each other

Apart from the Granger test for Granger causality, which tests whether one time series contains information to help predict the other time series, are there any methods to test if on time series lags/...
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1answer
581 views

interpretation of granger test outputs in R

I am using this R code: ...
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202 views

How to use Granger causality test to forecast GDP?

I'm writing an academic paper and I'd like to use the Granger causality test to forecast GDP or economic output of ASEAN countries. My inputs are GDP determinants such as capital, labor, export, ...
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75 views

Toda-Yamamoto Mutually Causal Relationship between I(0) and I(1) Variables

I want to sanity check some results. I've run a TY causality test following the Toda-Yamamoto (TY) procedure as described by Dave Giles in his blog post "Testing for Granger Causality". One variable ...
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1answer
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Analyzing the relationship between a series and a “subseries”

There are two variables, $A$ and $B$. One of those variables consists of two "subseries" of data, $A_1$ and $A_2$. There are time series data for $A_1$, $A_2$ and $B$. However, there is no data for $...
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257 views

Short-run dynamics in VECM

I am currently trying to grasp Jesus Gonzalo's and Clive Granger's measure, proposed in "Estimation of Common Long-Memory Components in Cointegrated Systems" (1995), with which one can analyze ...
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1answer
397 views

Testing for Granger causality in a VAR model with zero lags

Is having a maximum lag length of 0 ok after the differencing of variables (variables are not stationary at level). If yes, how can we run the Granger Causality Test through VAR or VECM modelling ...