statsmodels.tsa.vector_ar.hypothesis_test_results.CausalityTestResults

class statsmodels.tsa.vector_ar.hypothesis_test_results.CausalityTestResults(causing, caused, test_statistic, crit_value, pvalue, df, signif, test='granger', method=None)

Results class for Granger-causality and instantaneous causality.

Parameters:

causing : list of str

This list contains the potentially causing variables.

caused : list of str

This list contains the potentially caused variables.

test_statistic : float

crit_value : float

pvalue : float

df : int

Degrees of freedom.

signif : float

Significance level.

test : str {"granger", "inst"}, default: "granger"

If "granger", Granger-causality has been tested. If "inst", instantaneous causality has been tested.

method : str {"f", "wald"}

The kind of test. "f" indicates an F-test, "wald" indicates a Wald-test.

Methods

summary()

Return summary

Methods

summary()

Return summary