## Granger Causality Wikipedia

### Cointegration - Wikipedia.

Granger's 1987 paper with Robert Engle formalized the cointegrating vector approach, and coined the term. [5] For integrated I ( 1 ) {\displaystyle I(1)} processes, Granger and Newbold showed that de-trending does not work to eliminate the problem of spurious correlation, and that the superior alternative is to check for co-integration..

https://en.wikipedia.org/wiki/Cointegration.

### Granger Causality in Time Series - Analytics Vidhya.

Aug 22, 2021 . Granger causality fails to forecast when there is an interdependency between two or more variables (as stated in Case 3). Granger causality test can't be performed on non-stationary data. Resolving Chicken and Egg problem. Let us apply Granger causality to check whether the egg came first or chicken came first. Importing libraries.

https://www.analyticsvidhya.com/blog/2021/08/granger-causality-in-time-series-explained-using-chicken-and-egg-problem/.

### Causal inference - Wikipedia.

Causal inference is the process of determining the independent, actual effect of a particular phenomenon that is a component of a larger system. The main difference between causal inference and inference of association is that causal inference analyzes the response of an effect variable when a cause of the effect variable is changed. The science of why things occur ....

https://en.wikipedia.org/wiki/Causal_inference.

### statsmodels.tsa.stattools.grangercausalitytests — statsmodels.

Four tests for granger non causality of 2 time series. All four tests give similar results. params_ftest and ssr_ftest are equivalent based on F test which is identical to lmtest:grangertest in R. Parameters x array_like. The data for testing whether the time series in the second column Granger causes the time series in the first column..

https://www.statsmodels.org/stable/generated/statsmodels.tsa.stattools.grangercausalitytests.html.