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Hands-On Data Science with Anaconda
book

Hands-On Data Science with Anaconda

by Yuxing Yan, James Yan
May 2018
Beginner to intermediate
364 pages
7h 43m
English
Packt Publishing
Content preview from Hands-On Data Science with Anaconda

Granger causality test

When saying that A causes B, this means that A is the reason that B happens. This is the common definition of causality: which one causes the next one. The Granger causality test is used to determine whether one time series is a factor and offers useful information in forecasting the second one. In the following code, a dataset called ChickEgg is used as an illustration. The dataset has two columns, number of chicks and number of eggs, with a timestamp:

> library(lmtest)> data(ChickEgg)> dim(ChickEgg)[1] 54 2> ChickEgg[1:5,]     chicken egg[1,] 468491 3581[2,] 449743 3532[3,] 436815 3327[4,] 444523 3255[5,] 433937 3156

The question is: could we use this year's egg numbers to predict the next year's chicken numbers? If this ...

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Publisher Resources

ISBN: 9781788831192