Granger Causality Test

GranTest(u,y) Tests and declares if a signal u is a cause for the second signal y, or the case is vi

Description

Granger Causality Test
GranTest(u,y) indicates that if u causes y or y causes u.
[F1, F2]=GranTest(u,y,m,n)
gets arbitrary dynamic orders m, n for the ARX models used to test and gives the F-statistics required for the test.
 if F1>F2, then u -> y; and if F2>F1, then y -> u.

• Required Products: Statistics Toolbox
• MATLAB release: MATLAB 5.3 (R11)

[Dimitri Shvorob]

Requires ARX of System Identification Toolbox. No help. Most importantly, exactly why does one series have to Granger-cause the other?

if F2>F1
      disp('The second argument causes the first one.')
   else
      disp('The first argument causes the second one.')
   end

[Dimitri Shvorob]

Is the author concerned that his code is doing a meaningless calculation? Is a correction forthcoming?

[Chandler]