Granger Causality

Overview

1. Python Implementation

from statsmodels.tsa.stattools import grangercausalitytests
# Data: [Target, Predictor]
grangercausalitytests(df[['Y', 'X']], maxlag=4)

2. R Implementation

library(lmtest)

# Granger Causality Test
# order: lag length
grangertest(Y ~ X, order = 4, data = df)

# Note: Formula is Y ~ X (Does X Granger-cause Y?)
# Significant p-value (< 0.05) means YES.

3. Related Concepts

• Vector Autoregression (VAR)
• Time Series Analysis