(2026). grangersearch: Granger Causality Testing for Time Series (Version 0.1.0) [Computer software]. Comprehensive R Archive Network (CRAN). https://doi.org/10.32614/CRAN.package.grangersearch
Περίληψη
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.
- DOI
- 10.32614/CRAN.package.grangersearch
- Τύπος
- Λογισμικό
- Έκδοση
- 0.1.0
- Έτος
- 2026
Σύνδεσμοι
BibTeX
@software{korfiatis2026grangersearch,
title = {grangersearch: Granger Causality Testing for Time Series},
author = {Nikolaos Korfiatis},
url = {https://CRAN.R-project.org/package=grangersearch},
doi = {10.32614/CRAN.package.grangersearch},
year = {2026},
date = {2026-01-01},
publisher = {Comprehensive R Archive Network (CRAN)},
edition = {0.1.0},
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.},
note = {R package. Source code: https://github.com/nkorf/grangersearch},
keywords = {},
pubstate = {published},
tppubtype = {software}
}