Clarify Granger causality test

[gedeck]

Describe the problem The Granger causality test requires clarification why p-values are greater than the significance level. Statsmodels documentation states:

The Null hypothesis for grangercausalitytests is that the time series in the second column, x2, does NOT Granger cause the time series in the first column, x1. Grange causality means that past values of x2 have a statistically significant effect on the current value of x1, taking past values of x1 into account as regressors. We reject the null hypothesis that x2 does not Granger cause x1 if the pvalues are below a desired size of the test.

Suggested change A clear and concise description of what you expected to happen.