grangersearch: Granger Causality Testing for Time Series
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