python做格兰杰因果检验

最新推荐文章于 2024-07-06 03:15:09 发布

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最新推荐文章于 2024-07-06 03:15:09 发布

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文章标签：格兰杰因果检验

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本文链接：https://blog.csdn.net/qq_26948675/article/details/102691668

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本文详细介绍了格兰杰因果关系检验的概念及其在时间序列分析中的应用。检验的原假设是第二个时间序列（x2）不会格兰杰引起第一个时间序列（x1），即x2的过去值对x1的当前值没有显著影响，即使考虑了x1的过去值。当p值低于预设的显著性水平时，我们拒绝原假设，认为存在格兰杰因果关系。四种检验方法中，'params_ftest'和'ssr_ftest'基于F分布，而'ssr_chi2test'和'lrtest'则基于卡方分布。

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http://www.statsmodels.org/dev/generated/statsmodels.tsa.stattools.grangercausalitytests.html

The Null hypothesis for grangercausalitytests is that the time series in the second column, x2, does NOT Granger cause the time series in the first column, x1. Grange causality means that past values of x2 have a statistically significant effect on the current value of x1, taking past values of x1 into account as regressors. We reject the null hypothesis that x2 does not Granger cause x1 if the pvalues are below a desired size of the test.

The null hypothesis for all four test is that the coefficients corresponding to past values of the second time series are zero.

‘params_ftest’, ‘ssr_ftest’ are based on F distribution

‘ssr_chi2test’, ‘lrtest’ are based on chi-square distribution