Question

How to test hypothesis

Answer 1

[AI-generated answer — Bot]

of Granger causality?

The Granger causality test is a statistical hypothesis test for determining whether one time series is useful in forecasting another. The test can be used to determine whether one time series is Granger-causal to another, meaning that past values of the first time series can be used to predict the second time series.

To test the hypothesis of Granger causality, one can use the Granger causality test. This test is based on the concept of autoregressive models, which are models that use past values of a time series to predict future values. The Granger causality test uses a series of autoregressive models to determine whether one time series is useful in predicting another. Specifically, the test compares the performance of two autoregressive models: one that includes the first time series as a predictor, and one that does not. If the model that includes the first time series as a predictor performs significantly better than the one that does not, then the first time series is said to be Granger-causal to the second.