### Granger-causality without assuming linear regression, enhancements to generalCorr package

Consider the regression Y(t) =a0+a1 Y(t-1)+ .. +ap Y(t-p) +b1 X(t-1)+.. bp X(t-p) +e(t) Let (X — g — __ Y) denote that the time series X(t) Granger-causes the Y(t) series. The R package `lmtest’ has a function grangertest() for testing (X — g — __ Y). It ... [Read more...]