caustests-package: caustests: Multiple Granger Causality Tests for Time Series...

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

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

Description

Comprehensive suite of Granger causality tests for time series and panel data including standard Toda-Yamamoto, Fourier-based tests, quantile causality tests, panel Fourier Toda-Yamamoto, panel quantile causality, and Group-Mean/Pooled FM-OLS for panel cointegrating polynomial regressions.

Time Series Functions

• caustests: Perform Granger causality tests (time series)

Panel Data Functions

• xtpcaus: Panel Granger causality tests (PFTY and PQC)

• xtpcmg: Panel cointegrating polynomial regressions (FM-OLS)

Available Tests (Time Series)

1. Toda-Yamamoto (1995) - Robust to integration order

2. Single Fourier Granger (Enders & Jones, 2016)

3. Single Fourier Toda-Yamamoto (Nazlioglu et al., 2016)

4. Cumulative Fourier Granger (Enders & Jones, 2019)

5. Cumulative Fourier Toda-Yamamoto (Nazlioglu et al., 2019)

6. Quantile Toda-Yamamoto (Cai et al., 2023)

7. Bootstrap Fourier Granger in Quantiles (Cheng et al., 2021)

Available Tests (Panel Data)

1. Panel Fourier Toda-Yamamoto (Yilanci and Gorus, 2020)

2. Panel Quantile Causality (Wang and Nguyen, 2022)

3. Group-Mean FM-OLS (Wagner and Reichold, 2023)

4. Pooled FM-OLS (de Jong and Wagner, 2022)

Data

• caustests_data: Example time series dataset

• grunfeld_panel: Example panel dataset for xtpcaus

• grunfeld_cmg: Example panel dataset for xtpcmg

Author(s)

Maintainer: Muhammad Alkhalaf [e-mail] (ORCID) [copyright holder]

References

Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/0304-4076(94)01616-8")}

Enders, W., & Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1515/snde-2014-0101")}

Nazlioglu, S., Gormus, N. A., & Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.eneco.2016.09.009")}

Nazlioglu, S., Soytas, U., & Gormus, N. A. (2019). Oil prices and monetary policy in emerging markets: Structural shifts in causal linkages. Emerging Markets Finance and Trade, 55(1), 105-117. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1080/1540496X.2018.1434072")}

Cai, Y., Chang, T., Xiang, Y., & Chang, H. L. (2023). Testing Granger causality in quantiles between the stock and the foreign exchange markets of Japan. Finance Research Letters, 58, 104327. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.frl.2023.104327")}

Cheng, S. C., Hsueh, H. P., Ranjbar, O., Wang, M. C., & Chang, T. (2021). Bootstrap Fourier Granger causality test in quantiles and the asymmetric causal relationship between CO2 emissions and economic growth. Letters in Spatial and Resource Sciences, 14, 31-49. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1007/s12076-020-00263-0")}

Yilanci, V. and Gorus, M.S. (2020). Does economic globalization have predictive power for ecological footprint in MENA counties? A panel causality test with a Fourier function. Environmental Science and Pollution Research, 27, 40552-40562. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1007/s11356-020-10092-9")}

Wang, K.M. and Nguyen, T.B. (2022). A quantile panel-type analysis of income inequality and healthcare expenditure. Economic Research, 35(1), 873-893. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1080/1331677X.2021.1952089")}

Wagner, M. and Reichold, K. (2023). Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference. Econometric Reviews, 42(4), 358-392. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1080/07474938.2023.2178141")}

de Jong, R.M. and Wagner, M. (2022). Panel cointegrating polynomial regressions. Annals of Applied Statistics, 16(1), 416-442. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1214/21-AOAS1536")}

See Also

Useful links:

• https://github.com/muhammedalkhalaf/caustests

• Report bugs at https://github.com/muhammedalkhalaf/caustests/issues

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