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 (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