Granger Causality Test
Conducts a Granger Causality test using the Bayesian Information Criterion to select lag length
You are now following this Submission
- You will see updates in your followed content feed
- You may receive emails, depending on your communication preferences
Cite As
Chandler (2026). Granger Causality Test (https://www.mathworks.com/matlabcentral/fileexchange/25467-granger-causality-test), MATLAB Central File Exchange. Retrieved .
Acknowledgements
Inspired: Granger_Cause_1
General Information
- Version 1.3.0 (2.27 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.3.0 | 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 | 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 | A correction was made in the calculation of the critical value from the F-distribution |
||
| 1.0.0 |
