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Implemented 7 Granger causality tests:
- Test 1: Toda-Yamamoto (1995)
- Test 2: Single Fourier Granger (Enders & Jones, 2016)
- Test 3: Single Fourier Toda-Yamamoto (Nazlioglu et al., 2016)
- Test 4: Cumulative Fourier Granger (Enders & Jones, 2019)
- Test 5: Cumulative Fourier Toda-Yamamoto (Nazlioglu et al., 2019)
- Test 6: Quantile Toda-Yamamoto (Cai et al., 2023)
- Test 7: Bootstrap Fourier Granger Causality in Quantiles (Cheng et al., 2021)
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Features:
- Automatic lag order selection via AIC or BIC
- Optimal Fourier frequency selection
- Bootstrap inference for robust p-values
- Support for multivariate systems (all pairwise directions)
- Quantile causality testing across distribution
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S3 methods:
print(),summary(),plot() -
Example dataset:
caustests_data