Pandas Granger Causality Pandas Granger Causality pandas pandas

Pandas Granger Causality


  • (Null hypothesis) H0: Xt does not granger causes Yt.
  • (Alternate hypothesis) H1: Xt granger causes Yt.

If P-value is less than 5% (or 0.05), then we can reject the Null hypothesis (H0), and can conclude that Xt granger causes Yt.

So where ever your P-value is less than 0.05, you can consider those features.


Remember that Granger causality in its simplest form consists of an F-Test for the R2 of the two regressions:y=const+y[-1]+evs.y=const+y[-1]+x[-1]+e

in order to see if the R2 from the second regression is higher. See also:http://www.statisticshowto.com/granger-causality/