Granger Causality Test 1.0

Date Added: June 04, 2013 | Visits: 408

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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.

Requirements: No special requirements

Platforms: Matlab

Keyword: Based, Bayesian, Chooses, Criterion, Critical, Fstatistic, Granger, Greater, Hypothesis, Information, Learn, Length, Optimal, Produces, Reject, Series, Specifies

Users rating: 0/10

License: Freeware

Size: 10 KB

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