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Understanding the Inner Mechanics of the Granger Causality Test
Latest   Machine Learning

Understanding the Inner Mechanics of the Granger Causality Test

Last Updated on July 17, 2023 by Editorial Team

Author(s): Guenter Bauer

Originally published on Towards AI.

Advanced Plotting of Decomposed Time Series

Photo by Chad Kirchoff on Unsplash

In time series forecasting it is often helpful to use additional (exogenous) variables in order to improve the forecast accuracy of your target time series. For this, you will have to verify if there is even a relation between the target time series and the additional series you want to use in the forecasting model. The most common approach is to apply the Granger Causality test. It checks if a particular time series (exogenous) has a predictive causality on another time series (target) and can therefore be used as a lead time indicator. The goal… Read the full blog for free on Medium.

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