Compute test statistic for null hypothesis of Granger-noncausality, general function to test joint Granger-causality of multiple variables
Parameters : | equation : string or int
variables : sequence (of strings or ints)
kind : {‘f’, ‘wald’}
signif : float, default 5%
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Returns : | results : dict |
Notes
Null hypothesis is that there is no Granger-causality for the indicated variables. The degrees of freedom in the F-test are based on the number of variables in the VAR system, that is, degrees of freedom are equal to the number of equations in the VAR times degree of freedom of a single equation.