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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

1.4K Downloads

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 (2021). 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
Acknowledgements

Inspired by: Granger Causality Test

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