Granger Causality Test

Version 1.0.0.0 (451 Bytes) by H. Sh. G.
GranTest(u,y) Tests and declares if a signal u is a cause for the second signal y, or the case is vi
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Updated 20 Nov 2007

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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.

Cite As

H. Sh. G. (2024). Granger Causality Test (https://www.mathworks.com/matlabcentral/fileexchange/17604-granger-causality-test), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R11
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.0.0.0