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lib/statistics/granger/Granger.md
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| **PineScript** | [granger.pine](granger.pine) |
- The Granger Causality test asks a precise, falsifiable question: does knowing the history of series X improve your ability to predict series Y, bey...
- Parameterized by `period` (default 20).
- Output range: Varies (see docs).
- Requires `period + 1` bars of warmup before first valid output (IsHot = true).
- **Similar:** [Cointegration](../cointegration/Cointegration.md), [Correlation](../correlation/Correlation.md) | **Trading note:** Granger causality test; determines if one time series can forecast another. Lead-lag detection.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
## Introduction
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- Granger, C.W.J. (1969). "Investigating Causal Relations by Econometric Models and Cross-spectral Methods." Econometrica, 37(3), 424-438.
- Granger, C.W.J. (1980). "Testing for Causality: A Personal Viewpoint." Journal of Economic Dynamics and Control, 2, 329-352.
- Hamilton, J.D. (1994). Time Series Analysis. Princeton University Press. Chapter 11.
- Sims, C.A. (1972). "Money, Income, and Causality." American Economic Review, 62(4), 540-552.
- Sims, C.A. (1972). "Money, Income, and Causality." American Economic Review, 62(4), 540-552.