Granger Causality Test

Version 1.3.0.0 (2.31 KB) by Chandler
Conducts a Granger Causality test using the Bayesian Information Criterion to select lag length
3.5
(17)
10.2K Downloads
Updated 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.

Cite As

Chandler (2024). Granger Causality Test (https://www.mathworks.com/matlabcentral/fileexchange/25467-granger-causality-test), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired: Granger_Cause_1

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Version Published Release Notes
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