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Chapter 4: Granger Causality Test¶
In the first three chapters, we discussed the classical methods for both univariate and multivariate time series forecasting. We now introduce the notion of causality and its implications on time series analysis in general. We also describe a test for the linear VAR model discussed in the previous chapter.
The notebook is outlined as follows:
Notations
Definitions
Assumptions
Testing for Granger Causality
Ipo Dam Dataset
Causality between Rainfall and Ipo Dam Water Level
Causality between NIA Release Flow and Ipo Dam Water Level
La Mesa Dam Dataset
Causality between Rainfall and La Mesa Dam Water Level
Causality between NIA Release Flow and La Mesa Dam Water Level
Jena Climate Data
Causality between Pressure and Temperature
Summary
References
By students of PhD in Data Science Batch 2023 at the Asian Institute of Management
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