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)[source]#
Results class for Granger-causality and instantaneous causality
- Parameters:
- causing
listofstr This list contains the potentially causing variables.
- caused
listofstr This list contains the potentially caused variables.
- test_statistic
float The test’s test statistic.
- crit_value
float The test’s critical value.
- pvalue
float The test’s p-value. Must be between 0 and 1.
- df
int Degrees of freedom.
- signif
float Significance level.
- test{“granger”, “inst”},
optional If “granger”, Granger-causality has been tested. If “inst”, instantaneous causality has been tested.
- method{“f”, “wald”},
optional The kind of test. “f” indicates an F-test, “wald” indicates a Wald-test. Must be specified explicitly; a ValueError is raised if left as None.
- causing
Methods
summary()Return summary
Methods
summary()Return summary