1
$\begingroup$

I'm a developer (with no background in statistics) and I need to use granger causality test, i cant seem to understand the results from the python statsmodels package.

Example result:

Granger Causality

('number of lags (no zero)', 3)

ssr based F test:         F=0.0108  , p=0.9984  , df_denom=193, df_num=3

ssr based chi2 test:   chi2=0.0336  , p=0.9984  , df=3

likelihood ratio test: chi2=0.0336  , p=0.9984  , df=3

parameter F test:         F=0.4715  , p=0.4931  , df_denom=193, df_num=1

--

what is the difference between the 4 tests and how to get a conclusion from the p value.

thank you for your help.

$\endgroup$

1 Answer 1

1
$\begingroup$

1

Granger Causality test is to a hypothesis test with,

H0 : other time series does not effect the one we are focusing

H1 : H0 is false.

Eg. If X and Y are two time series and we want to know if X effects Y then,

H0 : X does not granger cause Y

H1 : X does granger cause Y , if p-value > 0.05 then H0 is accepted. i.e. X does not granger cause Y.

The test comprises of evaluating the p-value under various distribution.

SSR based F test : under this the statistic has an F-distribution under null Hypothesis.

SSR based Chi2 test : purpose of this test is to determine if a difference between observed data and expected data is due to chance, or if it is due to a relationship between the variables you are studying. Based on Chi2 distribution.

Likelihood ratio test : basically a ratio of the probability that a test result is correct to the probability that the test result is incorrect.

parameter F test : allows you to conclude whether two variables are related in the population. An F-value is the ratio of two variances, or technically, two mean squares. The F-test is called a parametric test because of the presence of parameters in the F- test. These parameters in the F-test are the mean and variance.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.