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caustests 1.0.0

Initial CRAN Release

• Implemented 7 Granger causality tests:
  • Test 1: Toda-Yamamoto (1995)
  • Test 2: Single Fourier Granger (Enders & Jones, 2016)
  • Test 3: Single Fourier Toda-Yamamoto (Nazlioglu et al., 2016)
  • Test 4: Cumulative Fourier Granger (Enders & Jones, 2019)
  • Test 5: Cumulative Fourier Toda-Yamamoto (Nazlioglu et al., 2019)
  • Test 6: Quantile Toda-Yamamoto (Cai et al., 2023)
  • Test 7: Bootstrap Fourier Granger Causality in Quantiles (Cheng et al., 2021)
• Features:
  • Automatic lag order selection via AIC or BIC
  • Optimal Fourier frequency selection
  • Bootstrap inference for robust p-values
  • Support for multivariate systems (all pairwise directions)
  • Quantile causality testing across distribution
• S3 methods: print(), summary(), plot()
• Example dataset: caustests_data

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.