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()