test_causality_bug

var_model_test_causality.py

def test_causality(self, equation, variables, kind='f', signif=0.05,
                       verbose=True):
        """Compute test statistic for null hypothesis of Granger-noncausality,
        general function to test joint Granger-causality of multiple variables

        Parameters
        ----------
        equation : string or int
            Equation to test for causality
        variables : sequence (of strings or ints)
            List, tuple, etc. of variables to test for Granger-causality
        kind : {'f', 'wald'}
            Perform F-test or Wald (chi-sq) test
        signif : float, default 5%
            Significance level for computing critical values for test,
            defaulting to standard 0.95 level

        Notes
        -----
        Null hypothesis is that there is no Granger-causality for the indicated
        variables. The degrees of freedom in the F-test are based on the
        number of variables in the VAR system, that is, degrees of freedom
        are equal to the number of equations in the VAR times degree of freedom
        of a single equation.

        Returns
        -------
        results : dict
        """
        if isinstance(variables, (string_types, int, np.integer)):
            variables = [variables]

        k, p = self.neqs, self.k_ar

        # number of restrictions
        N = len(variables) * self.k_ar

        # Make restriction matrix
        # bug: "+ k" should read "+ k * number_of_det_terms" 
        C = np.zeros((N, k ** 2 * p + k), dtype=float) # bug

        eq_index = self.get_eq_index(equation)
        vinds = mat([self.get_eq_index(v) for v in variables])

        # remember, vec is column order!
        # bug: "k + k ** 2" should read "k * num_of_det_terms + k ** 2"
        offsets = np.concatenate([k + k ** 2 * j + k * vinds + eq_index
                                  for j in range(p)])  # bug
        C[np.arange(N), offsets] = 1

        # Lutkepohl 3.6.5
        Cb = np.dot(C, vec(self.params.T))
        middle = L.inv(chain_dot(C, self.cov_params, C.T))

        # wald statistic
        lam_wald = statistic = chain_dot(Cb, middle, Cb)

        if kind.lower() == 'wald':
            df = N
            dist = stats.chi2(df)
        elif kind.lower() == 'f':
            statistic = lam_wald / N
            df = (N, k * self.df_resid)
            dist = stats.f(*df)
        else:
            raise Exception('kind %s not recognized' % kind)

        pvalue = dist.sf(statistic)
        crit_value = dist.ppf(1 - signif)

        conclusion = 'fail to reject' if statistic < crit_value else 'reject'
        results = {
            'statistic' : statistic,
            'crit_value' : crit_value,
            'pvalue' : pvalue,
            'df' : df,
            'conclusion' : conclusion,
            'signif' :  signif
        }

        if verbose:
            summ = output.causality_summary(results, variables, equation, kind)

            print(summ)

        return results