Granger Causality Test

Versione 1.3.0.0 (2,31 KB) da Chandler
Conducts a Granger Causality test using the Bayesian Information Criterion to select lag length
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Aggiornato 18 mar 2010

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GRANGER_CAUSE is a Granger Causality Test. The null hypothesis is that the y does not Granger Cause x. A user specifies the two series, x and y, along with the significance level and the maximum number of lags to be considered. The function chooses the optimal lag length for x and y based on the Bayesian Information Criterion. The function produces the F-statistic for the Granger Causality Test along with the corresponding critical value. We reject the null hypothesis that y does not Granger Cause x if the F-statistic is greater than the critical value. Type help granger_cause to learn more.

Cita come

Chandler (2026). Granger Causality Test (https://it.mathworks.com/matlabcentral/fileexchange/25467-granger-causality-test), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2009a
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Ispirato: Granger_Cause_1

Versione Pubblicato Note della release
1.3.0.0

There was an error in the calculation of the lengths of the BIC. It is now fixed. I would like to thank Mads for pointing out the bug.
1.2.0.0

There was an error in selecting the lag length for the BIC. It is now fixed. I would like to thank Mads for pointing out the bug.
1.1.0.0

A correction was made in the calculation of the critical value from the F-distribution
1.0.0.0