grangersearch: Granger Causality Testing for Time Series

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Authors: Nikolaos Korfiatis
Cited by: 0

Abstract

Performs Granger causality tests on pairs of time series to determine causal relationships. Uses Vector Autoregressive (VAR) models to test whether one time series helps predict another beyond what the series' own past values provide. Returns structured results including p-values, test statistics, and causality conclusions for both directions.

Fields of Study & Subjects

Data Analysis with R Monetary Policy and Economic Impact Time Series Analysis and Forecasting

Publication details

Publication date
12 January 2026
Document type
Dataset