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h3ik0th/GoT_grangercausality_coint01

Last active September 16, 2021 15:58
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GoT_grangercausality_coint01
# should we expect Granger causality, based on cointegration?
# test for cointegration using Engle-Granger
# null hypothesis: Tyrion and Cersei are NOT cointegrated
# we choose lags up to 10, the typical length of a season, during
# which the interested audience received news about Tyrion and Cersei;
score, pvalue, _ = coint(df["Tyrion"], df["Cersei"], maxlag=10)
pvalue
print(f'cointegration: score: {score:.2f}')
print(f'cointegration: p-value: {pvalue:.10f}')
print("cointegrated - there MUST be Granger causality" if pvalue < ALPHA else "NOT cointegrated (uncertain about Granger causality)")
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