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.
- causing
Methods
summary
()Return summary