caustests: Multiple Granger Causality Tests

Comprehensive suite of Granger causality tests for time series analysis, including:

Toda-Yamamoto (1995) - Standard Granger causality robust to integration order
Single Fourier Granger (Enders and Jones, 2016) - Captures smooth structural breaks
Single Fourier Toda-Yamamoto (Nazlioglu et al., 2016) - Combines TY with Fourier
Cumulative Fourier Granger (Enders and Jones, 2019) - Multiple Fourier frequencies
Cumulative Fourier Toda-Yamamoto (Nazlioglu et al., 2019)
Quantile Toda-Yamamoto (Cai et al., 2023) - Causality across quantiles
Bootstrap Fourier Granger in Quantiles (Cheng et al., 2021) - BFGC-Q

All tests include bootstrap inference for robust p-values.

Installation

# Install from CRAN (when available)
install.packages("caustests")

# Or install development version from GitHub
# install.packages("devtools")
devtools::install_github("muhammedalkhalaf/caustests")

Usage

library(caustests)

# Load example data
data(caustests_data)

# Test 1: Toda-Yamamoto test
result1 <- caustests(caustests_data, test = 1, nboot = 999)
print(result1)

# Test 3: Single Fourier Toda-Yamamoto
result3 <- caustests(caustests_data, test = 3, kmax = 3, nboot = 999)
summary(result3)

# Test 6: Quantile causality
result6 <- caustests(caustests_data, test = 6, 
                     quantiles = c(0.1, 0.25, 0.5, 0.75, 0.9),
                     nboot = 999)
print(result6)
plot(result6)

References

Toda, H. Y. and Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.
Enders, W. and Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.
Nazlioglu, S., Gormus, N. A. and Soytas, U. (2016). Oil prices and real estate investment trusts (REITs). Energy Economics, 60, 168-175.
Nazlioglu, S., Soytas, U. and Gormus, N. A. (2019). Oil prices and monetary policy in emerging markets. Emerging Markets Finance and Trade, 55(1), 105-117.
Cai, Y., Chang, T., Xiang, Y. and Chang, H. L. (2023). Testing Granger causality in quantiles. Finance Research Letters, 58, 104327.
Cheng, S. C., et al. (2021). Bootstrap Fourier Granger causality test in quantiles. Letters in Spatial and Resource Sciences, 14, 31-49.

Author

License

GPL-3