Granger Causality Test (Scripts) Publisher's description
GRANGER_CAUSE is a Granger Causality Test.
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.
System Requirements:MATLAB 7.8 (R2009a)
Program Release Status: New Release
Program Install Support: Install and Uninstall