Granger_Cause_1

Version 1.7.0.0 (484 KB) by robert
GRANGER_CAUSE_1 is a Granger Causality Test that accepts missing data and variable lag models
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Updated 15 Jul 2017

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GRANGER_CAUSE_1 is a Granger Causality Test that accepts missing data, permits fixed or variable lag models and permits Lag 0 for the Y model as well. It also tries to account for multiple comparisons in the F test
when using variable lag models ( models in which the lag chosen is based on the lowest BIC score).
This code is based on Granger_cause by Chandler.
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 ( if using variable lag lengths).
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_1 to learn more.

Cite As

robert (2024). Granger_Cause_1 (https://www.mathworks.com/matlabcentral/fileexchange/59390-granger_cause_1), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2016b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Statistics and Machine Learning Toolbox in Help Center and MATLAB Answers
Acknowledgements

Inspired by: Granger Causality Test

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Version Published Release Notes
1.7.0.0

added files to run granger cause , showing various ways to create output

1.6.0.0

Notes cleaned up, fixed erroat that required max_x_lags > max_y_lags

1.5.0.0

cleanup of notes, added DEBUG switch , fixed bug that required that max_x_lag > max_y_lag

1.0.0.0

fixed description typos