grangersearch: Granger Causality Testing for Time Series
Performs Granger causality tests on pairs of time series to determine causal relationships. Uses Vector Autoregressive (VAR) models to test whether one time series helps predict another beyond what the series' own past values provide. Returns structured results including p-values, test statistics, and causality conclusions for both directions.
| Version: | 0.1.0 |
| Depends: | R (≥ 4.1.0) |
| Imports: | vars, stats, rlang (≥ 1.0.0), tibble, generics |
| Suggests: | testthat (≥ 3.0.0), knitr, rmarkdown |
| Published: | 2026-01-12 |
| DOI: | 10.32614/CRAN.package.grangersearch |
| Author: | Nikolaos Korfiatis
 [aut, cre] |
| Maintainer: | Nikolaos Korfiatis <nkorf at ionio.gr> |
| BugReports: | https://github.com/nkorf/grangersearch/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/nkorf/grangersearch |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| In views: | TimeSeries |
| CRAN checks: | grangersearch results |
Documentation:
| Reference manual: | grangersearch.html , grangersearch.pdf |
| Vignettes: |
Introduction to grangersearch (source, R code) |
Downloads:
| Package source: | grangersearch_0.1.0.tar.gz |
| Windows binaries: | r-devel: grangersearch_0.1.0.zip, r-release: grangersearch_0.1.0.zip, r-oldrel: grangersearch_0.1.0.zip |
| macOS binaries: | r-release (arm64): grangersearch_0.1.0.tgz, r-oldrel (arm64): grangersearch_0.1.0.tgz, r-release (x86_64): grangersearch_0.1.0.tgz, r-oldrel (x86_64): grangersearch_0.1.0.tgz |
Linking:
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