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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 & Jones, 2016) - Captures smooth structural breaks
Single Fourier Toda-Yamamoto (Nazlioglu et al., 2016) - Combines TY with Fourier
Cumulative Fourier Granger (Enders & 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., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.
Enders, W., & 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., & Soytas, U. (2016). Oil prices and real estate investment trusts (REITs). Energy Economics, 60, 168-175.
Nazlioglu, S., Soytas, U., & 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., & 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

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.