GoT_grangercausality_01.py

GoT_grangercausality

import statsmodels.api as sm
from statsmodels.stats.stattools import durbin_watson
from statsmodels.tsa.stattools import grangercausalitytests, adfuller, kpss, coint
from pmdarima.arima import ndiffs        # for order of differencing
from statsmodels.tsa.api import VAR
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt

import warnings
warnings.filterwarnings("ignore")


ALPHA = 0.05


# import the Google Trend csv file
# Tyrion and Cersei's weekly Google fame since 2011

df = pd.read_csv("got_Cersei_Tyrion.csv")
df