{"id":2471,"date":"2023-07-22T03:17:44","date_gmt":"2023-07-22T03:17:44","guid":{"rendered":"https:\/\/statorials.org\/my\/%e1%80%85%e1%80%95%e1%80%ab%e1%80%b8%e1%80%a1%e1%80%af%e1%80%b6%e1%80%b8%e1%80%90%e1%80%bd%e1%80%84%e1%80%ba-granger-causality-%e1%80%85%e1%80%99%e1%80%ba%e1%80%b8%e1%80%9e%e1%80%95%e1%80%ba%e1%80%99\/"},"modified":"2023-07-22T03:17:44","modified_gmt":"2023-07-22T03:17:44","slug":"%e1%80%85%e1%80%95%e1%80%ab%e1%80%b8%e1%80%a1%e1%80%af%e1%80%b6%e1%80%b8%e1%80%90%e1%80%bd%e1%80%84%e1%80%ba-granger-causality-%e1%80%85%e1%80%99%e1%80%ba%e1%80%b8%e1%80%9e%e1%80%95%e1%80%ba%e1%80%99","status":"publish","type":"post","link":"https:\/\/statorials.org\/my\/%e1%80%85%e1%80%95%e1%80%ab%e1%80%b8%e1%80%a1%e1%80%af%e1%80%b6%e1%80%b8%e1%80%90%e1%80%bd%e1%80%84%e1%80%ba-granger-causality-%e1%80%85%e1%80%99%e1%80%ba%e1%80%b8%e1%80%9e%e1%80%95%e1%80%ba%e1%80%99\/","title":{"rendered":"Python \u1010\u103d\u1004\u103a granger causality test \u1000\u102d\u102f\u1019\u100a\u103a\u101e\u102d\u102f\u1037\u101c\u102f\u1015\u103a\u1006\u1031\u102c\u1004\u103a\u101b\u1019\u100a\u103a\u1014\u100a\u103a\u1038\u104b"},"content":{"rendered":"<p><\/p>\n<hr>\n<p><span style=\"color: #000000;\"><strong>Granger causality test \u1000\u102d\u102f<\/strong> \u1010\u1005\u103a\u1000\u103c\u102d\u1019\u103a\u1005\u102e\u1006\u1000\u103a\u1001\u103c\u1004\u103a\u1038\u101e\u100a\u103a \u1014\u1031\u102c\u1000\u103a\u1010\u1005\u103a\u1001\u102f\u1021\u102c\u1038 \u1001\u1014\u1037\u103a\u1019\u103e\u1014\u103a\u1038\u101b\u102c\u1010\u103d\u1004\u103a \u1021\u101e\u102f\u1036\u1038\u101d\u1004\u103a\u1001\u103c\u1004\u103a\u1038 \u101b\u103e\u102d\u104a \u1019\u101b\u103e\u102d \u1006\u102f\u1036\u1038\u1016\u103c\u1010\u103a\u101b\u1014\u103a \u1021\u101e\u102f\u1036\u1038\u1015\u103c\u102f\u1015\u102b\u101e\u100a\u103a\u104b<\/span><\/p>\n<p> <span style=\"color: #000000;\">\u1024\u1005\u1005\u103a\u1006\u1031\u1038\u1019\u103e\u102f\u101e\u100a\u103a \u1021\u1031\u102c\u1000\u103a\u1015\u102b null \u1014\u103e\u1004\u1037\u103a \u1021\u1001\u103c\u102c\u1038\u1021\u1001\u103c\u102c\u1038\u101e\u1031\u102c \u1021\u101a\u1030\u1021\u1006\u1019\u103b\u102c\u1038\u1000\u102d\u102f \u1021\u101e\u102f\u1036\u1038\u1015\u103c\u102f\u101e\u100a\u103a-<\/span><\/p>\n<p> <span style=\"color: #000000;\"><strong>Null hypothesis (H <sub>0<\/sub> ) :<\/strong> time series <em>x \u101e\u100a\u103a<\/em> time series <em>y<\/em> \u1000\u102d\u102f Granger \u101e\u102d\u102f\u1037 \u1019\u1016\u103c\u1005\u103a\u1005\u1031\u1015\u102b\u104b<\/span><\/p>\n<p> <span style=\"color: #000000;\"><strong>\u1021\u1005\u102c\u1038\u1011\u102d\u102f\u1038\u101a\u1030\u1006\u1001\u103b\u1000\u103a ( <sub>HA<\/sub> ):<\/strong> \u1021\u1001\u103b\u102d\u1014\u103a\u1005\u102e\u1038\u101b\u102e\u1038 <em>x<\/em> Granger \u104f\u1021\u1001\u103b\u102d\u1014\u103a\u1005\u102e\u1038\u101b\u102e\u1038\u1019\u103b\u102c\u1038\u101e\u100a\u103a <em>y<\/em> \u1000\u102d\u102f\u1016\u103c\u1005\u103a\u1005\u1031\u101e\u100a\u103a\u104b<\/span><\/p>\n<p> <span style=\"color: #000000;\">&#8220; Granger \u1021\u1000\u103c\u1031\u102c\u1004\u103a\u1038\u101b\u1004\u103a\u1038\u1019\u103b\u102c\u1038&#8221;  \u101f\u1030\u101e\u1031\u102c \u1021\u101e\u102f\u1036\u1038\u1021\u1014\u103e\u102f\u1014\u103a\u1038\u101e\u100a\u103a \u1021\u1001\u103b\u102d\u1014\u103a\u1005\u102e\u1038\u101b\u102e\u1038 <em>x<\/em> \u104f\u1010\u1014\u103a\u1016\u102d\u102f\u1038\u1000\u102d\u102f \u1010\u102d\u1000\u103b\u101e\u1031\u1001\u103b\u102c\u101e\u1031\u102c \u1014\u1031\u102c\u1000\u103a\u1000\u103b\u1019\u103e\u102f\u1016\u103c\u1004\u1037\u103a \u101e\u102d\u101b\u103e\u102d\u1001\u103c\u1004\u103a\u1038\u101e\u100a\u103a \u1014\u1031\u102c\u1000\u103a\u1015\u102d\u102f\u1004\u103a\u1038\u1000\u102c\u101c\u1010\u103d\u1004\u103a \u1021\u1001\u103b\u102d\u1014\u103a\u1005\u102e\u1038\u101b\u102e\u1038 <em>y<\/em> \u1010\u1014\u103a\u1016\u102d\u102f\u1038\u1000\u102d\u102f \u1001\u1014\u1037\u103a\u1019\u103e\u1014\u103a\u1038\u101b\u1014\u103a\u1021\u1010\u103d\u1000\u103a \u1021\u101e\u102f\u1036\u1038\u101d\u1004\u103a\u101e\u100a\u103a\u101f\u102f \u1006\u102d\u102f\u101c\u102d\u102f\u101e\u100a\u103a\u104b<\/span><\/p>\n<p> <span style=\"color: #000000;\">\u1024\u1005\u1019\u103a\u1038\u101e\u1015\u103a\u1019\u103e\u102f\u101e\u100a\u103a \u101e\u1000\u103a\u1006\u102d\u102f\u1004\u103a\u101b\u102c <a href=\"https:\/\/statorials.org\/my\/p-\u1010\u1014\u103a\u1016\u102d\u102f\u1038\u1019\u103b\u102c\u1038\u101e\u100a\u103a-\u1005\u102c\u101b\u1004\u103a\u1038\u1021\u1004\u103a\u1038\u1006\u102d\u102f\u1004\u103a\u101b\u102c-\u1021\u101b\u1031\u1038\u1015\u102b\u1019\u103e\u102f\u1016\u103c\u1005\u103a\u101e\u100a\u103a\u104b\/\" target=\"_blank\" rel=\"noopener\">p-\u1010\u1014\u103a\u1016\u102d\u102f\u1038<\/a> \u1016\u103c\u1004\u1037\u103a F-test \u1000\u102d\u1014\u103a\u1038\u1002\u100f\u1014\u103a\u1038\u1000\u102d\u102f \u1011\u102f\u1010\u103a\u101c\u102f\u1015\u103a\u101e\u100a\u103a\u104b<\/span> p-value <span style=\"color: #000000;\">\u101e\u100a\u103a \u1021\u1001\u103b\u102d\u102f\u1037\u101e\u1031\u102c \u1021\u101b\u1031\u1038\u1015\u102b\u1019\u103e\u102f\u1021\u1006\u1004\u1037\u103a\u1021\u1031\u102c\u1000\u103a\u1010\u103d\u1004\u103a \u101b\u103e\u102d\u1015\u102b\u1000 (\u1006\u102d\u102f\u101c\u102d\u102f\u101e\u100a\u103a\u1019\u103e\u102c \u03b1 = 0.05)\u104a \u1011\u102d\u102f\u1037\u1014\u1031\u102c\u1000\u103a null hypothesis \u1000\u102d\u102f \u1004\u103c\u1004\u103a\u1038\u1015\u101a\u103a\u1014\u102d\u102f\u1004\u103a\u1015\u103c\u102e\u1038 time series <em>x<\/em> Granger \u101e\u100a\u103a time series y \u1000\u102d\u102f \u1016\u103c\u1005\u103a\u1005\u1031\u101e\u100a\u103a\u101f\u102f \u1021\u1001\u102d\u102f\u1004\u103a\u1021\u1019\u102c \u1021\u1001\u102d\u102f\u1004\u103a\u1021\u1019\u102c \u1000\u1031\u102c\u1000\u103a\u1001\u103b\u1000\u103a\u1001\u103b\u1014\u102d\u102f\u1004\u103a\u101e\u100a\u103a<\/span> <span style=\"color: #000000;\">\u104b<\/span><\/p>\n<p> <span style=\"color: #000000;\">Python \u1010\u103d\u1004\u103a Granger-Causality \u1005\u1019\u103a\u1038\u101e\u1015\u103a\u1019\u103e\u102f\u1000\u102d\u102f \u101c\u102f\u1015\u103a\u1006\u1031\u102c\u1004\u103a\u101b\u1014\u103a statsmodels \u1015\u1000\u103a\u1000\u1031\u1037\u1001\u103a\u103b\u1019\u103e <a href=\"https:\/\/www.statsmodels.org\/dev\/generated\/statsmodels.tsa.stattools.grangercausalitytests.html\" target=\"_blank\" rel=\"noopener\">grangercausalitytests()<\/a> \u101c\u102f\u1015\u103a\u1006\u1031\u102c\u1004\u103a\u1001\u103b\u1000\u103a\u1000\u102d\u102f \u1000\u103b\u103d\u1014\u103a\u102f\u1015\u103a\u1010\u102d\u102f\u1037 \u1021\u101e\u102f\u1036\u1038\u1015\u103c\u102f\u1014\u102d\u102f\u1004\u103a\u1015\u102b\u101e\u100a\u103a\u104b<\/span><\/p>\n<pre style=\"background-color: #ececec; font-size: 15px;\"> <strong><span style=\"color: #008000;\">from<\/span> statsmodels. <span style=\"color: #3366ff;\">tsa<\/span> . <span style=\"color: #3366ff;\">stattools<\/span> <span style=\"color: #008000;\">import<\/span> grangercausalitytests\n<span style=\"color: #008080;\">\n#perform Granger-Causality test<\/span>\ngrangercausalitytests(df[[' <span style=\"color: #ff0000;\">column1<\/span> ', ' <span style=\"color: #ff0000;\">column2<\/span> ']], maxlag=[ <span style=\"color: #008000;\">3<\/span> ])\n<\/strong><\/pre>\n<p> <span style=\"color: #000000;\"><span style=\"color: #000000;\"><strong>maxlag \u101e\u100a\u103a<\/strong> \u1015\u1011\u1019\u1021\u1000\u103c\u102d\u1019\u103a\u1005\u102e\u1038\u101b\u102e\u1038\u1010\u103d\u1004\u103a \u1021\u101e\u102f\u1036\u1038\u1015\u103c\u102f\u101b\u1014\u103a \u1014\u1031\u102c\u1000\u103a\u1000\u103b\u1014\u1031\u101e\u1031\u102c \u1021\u101b\u1031\u1021\u1010\u103d\u1000\u103a\u1000\u102d\u102f \u101e\u1010\u103a\u1019\u103e\u1010\u103a\u1000\u103c\u1031\u102c\u1004\u103a\u1038 \u101e\u1010\u102d\u1015\u103c\u102f\u1015\u102b\u104b<\/span><\/span><\/p>\n<p> <span style=\"color: #000000;\">\u1021\u1031\u102c\u1000\u103a\u1016\u1031\u102c\u103a\u1015\u103c\u1015\u102b \u1021\u1006\u1004\u1037\u103a\u1006\u1004\u1037\u103a \u1025\u1015\u1019\u102c\u101e\u100a\u103a \u1024\u101c\u102f\u1015\u103a\u1006\u1031\u102c\u1004\u103a\u1001\u103b\u1000\u103a\u1000\u102d\u102f \u101c\u1000\u103a\u1010\u103d\u1031\u1037\u1010\u103d\u1004\u103a \u1019\u100a\u103a\u101e\u102d\u102f\u1037\u1021\u101e\u102f\u1036\u1038\u1015\u103c\u102f\u101b\u1019\u100a\u103a\u1000\u102d\u102f \u1015\u103c\u101e\u1011\u102c\u1038\u101e\u100a\u103a\u104b<\/span><\/p>\n<h3> <span style=\"color: #000000;\"><strong>\u1021\u1006\u1004\u1037\u103a 1: \u1012\u1031\u1010\u102c\u1000\u102d\u102f \u1010\u1004\u103a\u1015\u102b\u104b<\/strong><\/span><\/h3>\n<p> <span style=\"color: #000000;\">\u1024\u1025\u1015\u1019\u102c\u1021\u1010\u103d\u1000\u103a\u104a \u1015\u103c\u102f\u101c\u102f\u1015\u103a\u1011\u102c\u1038\u101e\u1031\u102c \u1000\u103c\u1000\u103a\u1025\u1021\u101b\u1031\u1021\u1010\u103d\u1000\u103a\u1021\u1015\u103c\u1004\u103a 1930 \u1019\u103e 1983 \u1001\u102f\u1014\u103e\u1005\u103a\u1021\u1011\u102d United States \u101b\u103e\u102d \u1000\u103c\u1000\u103a\u1021\u101b\u1031\u1021\u1010\u103d\u1000\u103a\u1021\u1010\u103d\u1000\u103a \u1010\u1014\u103a\u1016\u102d\u102f\u1038\u1019\u103b\u102c\u1038\u1015\u102b\u101b\u103e\u102d\u101e\u1031\u102c \u1012\u1031\u1010\u102c\u1021\u1010\u103d\u1032\u1000\u102d\u102f \u1021\u101e\u102f\u1036\u1038\u1015\u103c\u102f\u1015\u102b\u1019\u100a\u103a\u104b<\/span><\/p>\n<pre style=\"background-color: #ececec; font-size: 15px;\"> <strong><span style=\"color: #008000;\">import<\/span> pandas <span style=\"color: #008000;\">as<\/span> pd\n\n<span style=\"color: #008080;\">#define URL where dataset is located\n<\/span>url = \"https:\/\/raw.githubusercontent.com\/Statorials\/Miscellaneous\/main\/chicken_egg.txt\"\n\n<span style=\"color: #008080;\">#read in dataset as pandas DataFrame\n<\/span>df = pd. <span style=\"color: #3366ff;\">read_csv<\/span> (url, sep=\" \")\n\n<span style=\"color: #008080;\">#view first five rows of DataFrame\n<\/span>df. <span style=\"color: #3366ff;\">head<\/span> ()\n\n\tyear chicken egg\n0 1930 468491 3581\n1 1931 449743 3532\n2 1932 436815 3327\n3 1933 444523 3255\n4 1934 433937 3156\n<\/strong><\/pre>\n<p> <span style=\"color: #000000;\"><strong>\u1006\u1000\u103a\u1005\u1015\u103a-<\/strong><\/span> <a href=\"https:\/\/statorials.org\/my\/\u1015\u1014\u103a\u1012\u102b\u1019\u103b\u102c\u1038\u101e\u100a\u103a-csv-\u1000\u102d\u102f\u1016\u1010\u103a\u101e\u100a\u103a\u104b\/\" target=\"_blank\" rel=\"noopener\">Pandas \u1016\u103c\u1004\u1037\u103a CSV \u1016\u102d\u102f\u1004\u103a\u1019\u103b\u102c\u1038\u1000\u102d\u102f \u1018\u101a\u103a\u101c\u102d\u102f\u1016\u1010\u103a\u1019\u101c\u1032\u104b<\/a><\/p>\n<h3> <span style=\"color: #000000;\"><strong>\u1021\u1006\u1004\u1037\u103a 2- Granger \u1021\u1000\u103c\u1031\u102c\u1004\u103a\u1038\u101b\u1004\u103a\u1038\u1005\u1019\u103a\u1038\u101e\u1015\u103a\u1019\u103e\u102f\u1000\u102d\u102f \u101c\u102f\u1015\u103a\u1006\u1031\u102c\u1004\u103a\u1015\u102b\u104b<\/strong><\/span><\/h3>\n<p> <span style=\"color: #000000;\">\u1011\u102d\u102f\u1037\u1014\u1031\u102c\u1000\u103a\u1010\u103d\u1004\u103a\u104a \u1000\u103b\u103d\u1014\u103a\u102f\u1015\u103a\u1010\u102d\u102f\u1037\u101e\u100a\u103a \u1002\u101b\u1014\u103a\u1038\u1002\u103b\u102c \u1021\u101e\u1031\u1021\u1015\u103b\u1031\u102c\u1000\u103a\u1005\u1019\u103a\u1038\u101e\u1015\u103a\u1019\u103e\u102f\u1010\u1005\u103a\u1001\u102f\u101c\u102f\u1015\u103a\u1006\u1031\u102c\u1004\u103a\u101b\u1014\u103a <strong>grangercausalitytests<\/strong> <strong>()<\/strong> \u101c\u102f\u1015\u103a\u1006\u1031\u102c\u1004\u103a\u1001\u103b\u1000\u103a\u1000\u102d\u102f \u1021\u101e\u102f\u1036\u1038\u1015\u103c\u102f\u1015\u103c\u102e\u1038 \u1025\u1021\u101b\u1031\u1021\u1010\u103d\u1000\u103a\u101e\u100a\u103a \u1021\u1014\u102c\u1002\u1010\u103a\u1000\u103c\u1000\u103a\u1019\u1021\u101b\u1031\u1021\u1010\u103d\u1000\u103a\u1000\u102d\u102f \u1001\u1014\u1037\u103a\u1019\u103e\u1014\u103a\u1038\u1014\u102d\u102f\u1004\u103a\u1001\u103c\u1004\u103a\u1038\u101b\u103e\u102d\u104a \u1021\u1031\u102c\u1037\u1016\u103a\u1006\u1000\u103a\u101e\u102f\u1036\u1038\u1001\u102f\u1000\u102d\u102f \u1021\u101e\u102f\u1036\u1038\u1015\u103c\u102f\u104d \u1005\u1019\u103a\u1038\u101e\u1015\u103a\u1019\u103e\u102f\u1000\u102d\u102f \u101c\u102f\u1015\u103a\u1006\u1031\u102c\u1004\u103a\u1015\u102b\u1019\u100a\u103a\u104b<\/span><\/p>\n<pre style=\"background-color: #ececec; font-size: 15px;\"> <strong><span style=\"color: #008080;\"><span style=\"color: #000000;\"><span style=\"color: #008000;\">from<\/span> statsmodels. <span style=\"color: #3366ff;\">tsa<\/span> . <span style=\"color: #3366ff;\">stattools<\/span> <span style=\"color: #008000;\">import<\/span> grangercausalitytests<\/span>\n\n#perform Granger-Causality test<\/span>\ngrangercausalitytests(df[[' <span style=\"color: #ff0000;\">chicken<\/span> ', ' <span style=\"color: #ff0000;\">egg<\/span> ']], maxlag=[ <span style=\"color: #008000;\">3<\/span> ])\n\nGranger Causality\nnumber of lags (no zero) 3\nssr based F test: F=5.4050, p=0.0030, df_denom=44, df_num=3\nssr based chi2 test: chi2=18.7946, p=0.0003, df=3\nlikelihood ratio test: chi2=16.0003, p=0.0011, df=3\nparameter F test: F=5.4050, p=0.0030, df_denom=44, df_num=3<\/strong><\/pre>\n<p> <span style=\"color: #000000;\">F-test statistic \u101e\u100a\u103a <strong>5.405<\/strong> \u1016\u103c\u1005\u103a\u101e\u103d\u102c\u1038\u1015\u103c\u102e\u1038 \u101e\u1000\u103a\u1006\u102d\u102f\u1004\u103a\u101b\u102c p-value \u101e\u100a\u103a <strong>0.0030<\/strong> \u1016\u103c\u1005\u103a\u101e\u100a\u103a\u104b<\/span><\/p>\n<p> <span style=\"color: #000000;\">p-value \u101e\u100a\u103a 0.05 \u1011\u1000\u103a\u1014\u100a\u103a\u1038\u101e\u1031\u102c\u1000\u103c\u1031\u102c\u1004\u1037\u103a\u104a \u1005\u1019\u103a\u1038\u101e\u1015\u103a\u1019\u103e\u102f\u104f null hypothesis \u1000\u102d\u102f \u1004\u103c\u1004\u103a\u1038\u1015\u101a\u103a\u1014\u102d\u102f\u1004\u103a\u1015\u103c\u102e\u1038 \u1025\u1021\u101b\u1031\u1021\u1010\u103d\u1000\u103a\u1000\u102d\u102f \u101e\u102d\u101b\u103e\u102d\u1001\u103c\u1004\u103a\u1038\u101e\u100a\u103a \u1000\u103c\u1000\u103a\u1021\u101b\u1031\u1021\u1010\u103d\u1000\u103a\u1000\u102d\u102f \u1001\u1014\u1037\u103a\u1019\u103e\u1014\u103a\u1038\u101b\u102c\u1010\u103d\u1004\u103a \u1021\u101e\u102f\u1036\u1038\u101d\u1004\u103a\u1000\u103c\u1031\u102c\u1004\u103a\u1038 \u1000\u1031\u102c\u1000\u103a\u1001\u103b\u1000\u103a\u1001\u103b\u1014\u102d\u102f\u1004\u103a\u1015\u102b\u101e\u100a\u103a\u104b<\/span><\/p>\n<h3> <span style=\"color: #000000;\"><strong>\u1021\u1006\u1004\u1037\u103a 3- \u1015\u103c\u1031\u102c\u1004\u103a\u1038\u1015\u103c\u1014\u103a\u1010\u103d\u1004\u103a Granger Causality Test \u1000\u102d\u102f\u101c\u102f\u1015\u103a\u1006\u1031\u102c\u1004\u103a\u1015\u102b\u104b<\/strong><\/span><\/h3>\n<p> <span style=\"color: #000000;\">\u1005\u1019\u103a\u1038\u101e\u1015\u103a\u1019\u103e\u102f\u104f null hypothesis \u1000\u102d\u102f \u1000\u103b\u103d\u1014\u103a\u102f\u1015\u103a\u1010\u102d\u102f\u1037 \u1015\u101a\u103a\u1001\u103b\u1001\u1032\u1037\u101e\u1031\u102c\u103a\u101c\u100a\u103a\u1038\u104a \u1021\u1019\u103e\u1014\u103a\u1010\u1000\u101a\u103a\u1010\u103d\u1004\u103a \u1015\u103c\u1031\u102c\u1004\u103a\u1038\u1015\u103c\u1014\u103a \u1021\u1000\u103c\u1031\u102c\u1004\u103a\u1038\u101b\u1004\u103a\u1038\u1001\u1036 \u1016\u103c\u1005\u103a\u1015\u1031\u102b\u103a\u101c\u102c\u1014\u102d\u102f\u1004\u103a\u101e\u100a\u103a \u104b \u1010\u1005\u103a\u1014\u100a\u103a\u1038\u1006\u102d\u102f\u101b\u101e\u1031\u102c\u103a \u1000\u103c\u1000\u103a\u1021\u101b\u1031\u1021\u1010\u103d\u1000\u103a\u101e\u100a\u103a \u1025\u1021\u101b\u1031\u1021\u1010\u103d\u1000\u103a \u1015\u103c\u1031\u102c\u1004\u103a\u1038\u101c\u1032\u101e\u103d\u102c\u1038\u1001\u103c\u1004\u103a\u1038 \u1016\u103c\u1005\u103a\u1014\u102d\u102f\u1004\u103a\u101e\u100a\u103a\u104b<\/span><\/p>\n<p> <span style=\"color: #000000;\">\u1024\u1016\u103c\u1005\u103a\u1014\u102d\u102f\u1004\u103a\u1001\u103b\u1031\u1000\u102d\u102f \u1016\u101a\u103a\u101b\u103e\u102c\u1038\u101b\u1014\u103a\u104a \u1000\u103b\u103d\u1014\u103a\u102f\u1015\u103a\u1010\u102d\u102f\u1037\u101e\u100a\u103a <a href=\"https:\/\/statorials.org\/my\/\u1015\u103c\u1031\u102c\u1004\u103a\u1038\u101c\u1032\u1014\u102d\u102f\u1004\u103a\u101e\u1031\u102c-\u101b\u103e\u1004\u103a\u1038\u101c\u1004\u103a\u1038\u1001\u103b\u1000\u103a-\u1010\u102f\u1036\u1037\u1015\u103c\u1014\u103a\u1019\u103e\u102f\u1019\u103b\u102c\u1038\/\" target=\"_blank\" rel=\"noopener\">\u1010\u102f\u1036\u1037\u1015\u103c\u1014\u103a\u1019\u103e\u102f\u1000\u102d\u1014\u103a\u1038\u101b\u103e\u1004\u103a<\/a> \u1021\u1016\u103c\u1005\u103a \u1000\u103c\u1000\u103a\u1019\u103b\u102c\u1038\u1000\u102d\u102f \u1000\u103c\u102d\u102f\u1010\u1004\u103a\u1001\u1014\u1037\u103a\u1019\u103e\u1014\u103a\u1038\u1014\u102d\u102f\u1004\u103a\u101e\u1031\u102c\u1000\u102d\u1014\u103a\u1038\u101b\u103e\u1004\u103a\u1021\u1016\u103c\u1005\u103a\u1014\u103e\u1004\u1037\u103a \u1000\u103c\u1000\u103a\u1025\u1019\u103b\u102c\u1038\u1000\u102d\u102f \u1021\u101e\u102f\u1036\u1038\u1015\u103c\u102f\u104d \u1015\u103c\u1031\u102c\u1004\u103a\u1038\u1015\u103c\u1014\u103a\u1016\u103c\u1004\u1037\u103a Granger-Causality \u1005\u1019\u103a\u1038\u101e\u1015\u103a\u1019\u103e\u102f\u1000\u102d\u102f \u101c\u102f\u1015\u103a\u1006\u1031\u102c\u1004\u103a\u101b\u1014\u103a \u101c\u102d\u102f\u1021\u1015\u103a\u1015\u102b\u101e\u100a\u103a\u104b<\/span><\/p>\n<pre style=\"background-color: #ececec; font-size: 15px;\"> <strong><span style=\"color: #008080;\"><span style=\"color: #000000;\"><span style=\"color: #008000;\">from<\/span> statsmodels. <span style=\"color: #3366ff;\">tsa<\/span> . <span style=\"color: #3366ff;\">stattools<\/span> <span style=\"color: #008000;\">import<\/span> grangercausalitytests<\/span>\n\n#perform Granger-Causality test<\/span>\ngrangercausalitytests(df[[' <span style=\"color: #ff0000;\">egg<\/span> ', ' <span style=\"color: #ff0000;\">chicken<\/span> ']], maxlag=[ <span style=\"color: #008000;\">3<\/span> ])\n\nGranger Causality\nnumber of lags (no zero) 3\nssr based F test: F=0.5916, p=0.6238, df_denom=44, df_num=3\nssr based chi2 test: chi2=2.0572, p=0.5606, df=3\nlikelihood ratio test: chi2=2.0168, p=0.5689, df=3\nparameter F test: F=0.5916, p=0.6238, df_denom=44, df_num=3\n<\/strong><\/pre>\n<p> <span style=\"color: #000000;\">F-test statistic \u101e\u100a\u103a <strong>0.5916<\/strong> \u1014\u103e\u1004\u1037\u103a \u101e\u1000\u103a\u1006\u102d\u102f\u1004\u103a\u101e\u1031\u102c p-value \u101e\u100a\u103a <strong>0.6238<\/strong> \u1016\u103c\u1005\u103a\u101e\u100a\u103a\u104b<\/span><\/p>\n<p> <span style=\"color: #000000;\">p-value \u101e\u100a\u103a 0.05 \u1011\u1000\u103a\u1019\u1014\u100a\u103a\u1038\u101e\u1031\u102c\u1000\u103c\u1031\u102c\u1004\u1037\u103a\u104a null hypothesis \u1000\u102d\u102f \u1004\u103c\u1004\u103a\u1038\u1015\u101a\u103a\u104d\u1019\u101b\u1015\u102b\u104b \u1010\u1005\u103a\u1014\u100a\u103a\u1038\u1006\u102d\u102f\u101b\u101e\u1031\u102c\u103a \u1000\u103c\u1000\u103a\u1021\u101b\u1031\u1021\u1010\u103d\u1000\u103a\u101e\u100a\u103a \u1021\u1014\u102c\u1002\u1010\u103a\u1025\u1021\u101b\u1031\u1021\u1010\u103d\u1000\u103a\u1000\u102d\u102f \u1019\u1001\u1014\u1037\u103a\u1019\u103e\u1014\u103a\u1038\u1014\u102d\u102f\u1004\u103a\u1015\u1031\u104b<\/span><\/p>\n<p> <span style=\"color: #000000;\">\u1011\u102d\u102f\u1037\u1000\u103c\u1031\u102c\u1004\u1037\u103a \u1025\u1021\u101b\u1031\u1021\u1010\u103d\u1000\u103a\u1000\u102d\u102f \u101e\u102d\u1001\u103c\u1004\u103a\u1038\u101e\u100a\u103a \u1000\u103c\u1000\u103a\u1019\u1021\u101b\u1031\u1021\u1010\u103d\u1000\u103a\u1000\u102d\u102f \u1001\u1014\u1037\u103a\u1019\u103e\u1014\u103a\u1038\u101b\u102c\u1010\u103d\u1004\u103a \u1021\u101e\u102f\u1036\u1038\u101d\u1004\u103a\u101e\u100a\u103a\u101f\u102f \u1000\u103b\u103d\u1014\u103a\u102f\u1015\u103a\u1010\u102d\u102f\u1037 \u1000\u1031\u102c\u1000\u103a\u1001\u103b\u1000\u103a\u1001\u103b\u1014\u102d\u102f\u1004\u103a\u101e\u100a\u103a\u104b<\/span><\/p>\n<h3> <span style=\"color: #000000;\"><strong>\u1011\u1015\u103a\u101c\u1031\u102c\u1004\u103a\u1038\u1021\u101b\u1004\u103a\u1038\u1021\u1019\u103c\u1005\u103a\u1019\u103b\u102c\u1038<\/strong><\/span><\/h3>\n<p> <span style=\"color: #000000;\">\u1021\u1031\u102c\u1000\u103a\u1016\u1031\u102c\u103a\u1015\u103c\u1015\u102b \u101e\u1004\u103a\u1001\u1014\u103a\u1038\u1005\u102c\u1019\u103b\u102c\u1038\u101e\u100a\u103a Python \u101b\u103e\u102d time series \u1016\u103c\u1004\u1037\u103a \u1021\u1001\u103c\u102c\u1038 \u1021\u101e\u102f\u1036\u1038\u1019\u103b\u102c\u1038\u101e\u100a\u1037\u103a \u1021\u101c\u102f\u1015\u103a\u1019\u103b\u102c\u1038\u1000\u102d\u102f \u1019\u100a\u103a\u101e\u102d\u102f\u1037\u101c\u102f\u1015\u103a\u1006\u1031\u102c\u1004\u103a\u101b\u1019\u100a\u103a\u1000\u102d\u102f \u101b\u103e\u1004\u103a\u1038\u1015\u103c\u101e\u100a\u103a-<\/span><\/p>\n<p> <a href=\"https:\/\/statorials.org\/my\/\u1015\u1004\u103a\u101c\u101a\u103a\u1015\u103c\u1004\u103a\u1021\u1001\u103b\u102d\u1014\u103a\u1007\u101a\u102c\u1038\/\" target=\"_blank\" rel=\"noopener\">Seaborn \u1010\u103d\u1004\u103a Time Series Plot \u1010\u1005\u103a\u1001\u102f\u1016\u1014\u103a\u1010\u102e\u1038\u1014\u100a\u103a\u1038<\/a><br \/> <a href=\"https:\/\/statorials.org\/my\/matplotlib-\u1021\u1001\u103b\u102d\u1014\u103a\u1005\u102e\u1038\u101b\u102e\u1038\/\" target=\"_blank\" rel=\"noopener\">Matplotlib \u1010\u103d\u1004\u103a \u1021\u1001\u103b\u102d\u1014\u103a\u1005\u102e\u1038\u101b\u102e\u1038\u1007\u102c\u1010\u103a\u1000\u103d\u1000\u103a\u1016\u1014\u103a\u1010\u102e\u1038\u1014\u100a\u103a\u1038<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Granger causality test \u1000\u102d\u102f \u1010\u1005\u103a\u1000\u103c\u102d\u1019\u103a\u1005\u102e\u1006\u1000\u103a\u1001\u103c\u1004\u103a\u1038\u101e\u100a\u103a \u1014\u1031\u102c\u1000\u103a\u1010\u1005\u103a\u1001\u102f\u1021\u102c\u1038 \u1001\u1014\u1037\u103a\u1019\u103e\u1014\u103a\u1038\u101b\u102c\u1010\u103d\u1004\u103a \u1021\u101e\u102f\u1036\u1038\u101d\u1004\u103a\u1001\u103c\u1004\u103a\u1038 \u101b\u103e\u102d\u104a \u1019\u101b\u103e\u102d \u1006\u102f\u1036\u1038\u1016\u103c\u1010\u103a\u101b\u1014\u103a \u1021\u101e\u102f\u1036\u1038\u1015\u103c\u102f\u1015\u102b\u101e\u100a\u103a\u104b \u1024\u1005\u1005\u103a\u1006\u1031\u1038\u1019\u103e\u102f\u101e\u100a\u103a \u1021\u1031\u102c\u1000\u103a\u1015\u102b null \u1014\u103e\u1004\u1037\u103a \u1021\u1001\u103c\u102c\u1038\u1021\u1001\u103c\u102c\u1038\u101e\u1031\u102c \u1021\u101a\u1030\u1021\u1006\u1019\u103b\u102c\u1038\u1000\u102d\u102f \u1021\u101e\u102f\u1036\u1038\u1015\u103c\u102f\u101e\u100a\u103a- Null hypothesis (H 0 ) : time series x \u101e\u100a\u103a time series y \u1000\u102d\u102f Granger \u101e\u102d\u102f\u1037 \u1019\u1016\u103c\u1005\u103a\u1005\u1031\u1015\u102b\u104b \u1021\u1005\u102c\u1038\u1011\u102d\u102f\u1038\u101a\u1030\u1006\u1001\u103b\u1000\u103a ( HA ): \u1021\u1001\u103b\u102d\u1014\u103a\u1005\u102e\u1038\u101b\u102e\u1038 x Granger \u104f\u1021\u1001\u103b\u102d\u1014\u103a\u1005\u102e\u1038\u101b\u102e\u1038\u1019\u103b\u102c\u1038\u101e\u100a\u103a y \u1000\u102d\u102f\u1016\u103c\u1005\u103a\u1005\u1031\u101e\u100a\u103a\u104b &#8220; Granger \u1021\u1000\u103c\u1031\u102c\u1004\u103a\u1038\u101b\u1004\u103a\u1038\u1019\u103b\u102c\u1038&#8221; \u101f\u1030\u101e\u1031\u102c \u1021\u101e\u102f\u1036\u1038\u1021\u1014\u103e\u102f\u1014\u103a\u1038\u101e\u100a\u103a \u1021\u1001\u103b\u102d\u1014\u103a\u1005\u102e\u1038\u101b\u102e\u1038 x \u104f\u1010\u1014\u103a\u1016\u102d\u102f\u1038\u1000\u102d\u102f \u1010\u102d\u1000\u103b\u101e\u1031\u1001\u103b\u102c\u101e\u1031\u102c [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3],"tags":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v21.5 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Python - Statorials \u1010\u103d\u1004\u103a Granger Causality Test \u1000\u102d\u102f \u1019\u100a\u103a\u101e\u102d\u102f\u1037\u101c\u102f\u1015\u103a\u1006\u1031\u102c\u1004\u103a\u101b\u1019\u100a\u103a\u1014\u100a\u103a\u1038\u104b<\/title>\n<meta name=\"description\" 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