Granger Causality

Directional predictive-strength queries on a fitted VAR. The per-pair query lives on FittedVAR.granger_causality; toda_yamamoto is the lag-augmented entry point for possibly-integrated systems.

toda_yamamoto resolves its augmentation from the integration-order diagnostics unless you pass d= yourself, so that path needs the optional diagnostics extra:

pip install "impulso[diagnostics]"

toda_yamamoto

Granger causality with Toda-Yamamoto lag augmentation.

Both entry points return a GrangerCausalityResult, documented on the Results page — read its docstring for exactly what p_rope claims and what it does not.

See Granger causality and Toda-Yamamoto for the recipes.