::Free Statistics and Forecasting Software::



:: Bivariate Granger Causality - Free Statistics Software (Calculator) ::

All rights reserved. The non-commercial (academic) use of this software is free of charge. The only thing that is asked in return is to cite this software when results are used in publications.

This free online software (calculator) computes the bivariate Granger causality test in two directions. Enter the time series in the respective data boxes and specify the Box-Cox tranformation parameter, the degree of non-seasonal differencing, and the degree of seasonal differencing (for each time series) to induce stationarity. The maximum number lags (of the endogenous variable) that is used in the test equation can also be specified.

Enter (or paste) your data delimited by hard returns.

Send output to:
Data X (click to load default data)
Data Y:
Box-Cox transformation parameter (X series) 
Degree (d) of non-seasonal differencing (X series) 
Degree (D) of seasonal differencing (X series) 
Seasonal Period 
Box-Cox transformation parameter (Y series) 
Degree (d) of non-seasonal differencing (Y series) 
Degree (D) of seasonal differencing (Y series) 
Number of non-seasonal time lags in test 
Chart options
Label y-axis:
Label x-axis:

Source code of R module
Top | Output | Charts | References

Cite this software as:
Wessa P., (2016), Bivariate Granger Causality (v1.0.4) in Free Statistics Software (v1.2.1), Office for Research Development and Education, URL http://www.wessa.net/rwasp_grangercausality.wasp/
The R code is based on :
Anil K Seth (2007) Granger causality.Scholarpedia, 2(7):1667
Top | Output | Charts | References

To cite Wessa.net in publications use:
Wessa, P. (2024), Free Statistics Software, Office for Research Development and Education,
version 1.2.1, URL https://www.wessa.net/

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Software Version : 1.2.1
Algorithms & Software : Patrick Wessa, PhD
Server : www.wessa.net

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