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I am investigating two time series where the first is the daily closing stock price changes and the other is the daily changes in the PCE index.

I want to investigate how much the PCE index explains the returns by using a rolling granger causality like this one: enter image description here

I can't find a way to get a rolling granger causality in python. Would someone mind helping me out or do I need to rethink the concept?

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I believe this may be of help: https://www.statsmodels.org/dev/generated/statsmodels.tsa.stattools.grangercausalitytests.html

This allows you to run a granger causality of two variables. As for rolling, use a rolling index loop over an array:

for i in range(window, max_idx):
     sub_view = my_array[i-window:i+1,:]
# use function here 
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