NEWS.md

In caustests: Multiple Granger Causality Tests for Time Series and Panel Data

caustests 1.0.0

Initial CRAN Release

• Implemented 7 Granger causality tests:
• Test 1: Toda-Yamamoto (1995)
• Test 2: Single Fourier Granger (Enders & Jones, 2016)
• Test 3: Single Fourier Toda-Yamamoto (Nazlioglu et al., 2016)
• Test 4: Cumulative Fourier Granger (Enders & Jones, 2019)
• Test 5: Cumulative Fourier Toda-Yamamoto (Nazlioglu et al., 2019)
• Test 6: Quantile Toda-Yamamoto (Cai et al., 2023)

• Test 7: Bootstrap Fourier Granger Causality in Quantiles (Cheng et al., 2021)

• Features:

• Automatic lag order selection via AIC or BIC
• Optimal Fourier frequency selection
• Bootstrap inference for robust p-values
• Support for multivariate systems (all pairwise directions)

• Quantile causality testing across distribution

• S3 methods: print(), summary(), plot()

• Example dataset: caustests_data

caustests documentation built on April 5, 2026, 9:06 a.m.