pandas 熊猫格兰杰因果关系
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Pandas Granger Causality
提问by agg212
I would like to perform a Granger Causality test on time series data using Python Pandas and I have two questions.
我想使用 Python Pandas 对时间序列数据执行格兰杰因果关系测试，我有两个问题。
(1) I have tried using the pandas.stats.varpackage, but that seems to be deprecated. Are there any other recommended options?
(1) 我曾尝试使用该pandas.stats.var软件包，但似乎已弃用。有没有其他推荐的选择？
(2) I'm having difficulty interpreting the output of the VAR.granger_causality()function in the pandas.stats.varpackage. The only reference I could find is a comment in the source code that says:
(2) 我很难解释包中VAR.granger_causality()函数的输出pandas.stats.var。我能找到的唯一参考是源代码中的一条评论：
Returns the f-stats and p-values from the Granger Causality Test.
If the data consists of columns x1, x2, x3, then we perform the
following regressions:
x1 ~ L(x2, x3)
x1 ~ L(x1, x3)
x1 ~ L(x1, x2)
The f-stats of these results are placed in the 'x1' column of the
returned DataFrame. We then repeat for x2, x3.
Returns
-------
Dict, where 'f-stat' returns the DataFrame containing the f-stats,
and 'p-value' returns the DataFrame containing the corresponding
p-values of the f-stats.
For example, the output of a trial run is shown below:
例如，试运行的输出如下所示：
p-value:
C B A
A 0.472122 0.798261 0.412984
B 0.327602 0.783978 0.494436
C 0.071369 0.385844 0.688292
f-stat:
C B A
A 0.524075 0.065955 0.680298
B 0.975334 0.075878 0.473030
C 3.378231 0.763898 0.162619
I understand that each cell in the p-value table corresponds to a cell in the f-stat table, but I do not understand what the cells in the f-stat table refer to. For example, what does the value 0.52 in column C, row A mean?
我知道p值表中的每个单元格对应f-stat表中的一个单元格，但我不明白f-stat表中的单元格指的是什么。例如，C 列 A 行中的值 0.52 是什么意思？
回答by Niccola Tartaglia
Remember that Granger causality in its simplest form consists of an F-Test for the R2 of the two regressions: y=const+y[-1]+e vs. y=const+y[-1]+x[-1]+e
请记住，最简单形式的格兰杰因果关系由两个回归的 R2 的 F 检验组成：y=const+y[-1]+e 与 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/
为了查看第二次回归的 R2 是否更高。另见：http: //www.statisticshowto.com/granger-causality/
