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caustests  

Multiple Granger Causality Tests for Time Series and Panel Data
View on CRAN: Click here


Download and install caustests package within the R console
Install from CRAN:
install.packages("caustests")

Install from Github:
library("remotes")
install_github("cran/caustests")

Install by package version:
library("remotes")
install_version("caustests", "1.1.1")



Attach the package and use:
library("caustests")
Maintained by
Muhammad Alkhalaf
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-03-12
Latest Update: 2026-03-12
Description:
Comprehensive suite of Granger causality tests including standard Toda-Yamamoto (1995) <doi:10.1016/0304-4076(94)01616-8>, Fourier-based tests with single frequency (Enders and Jones, 2016) <doi:10.1515/snde-2014-0101> and cumulative frequencies (Nazlioglu et al., 2019) <doi:10.1080/1540496X.2018.1434072>, as well as quantile causality tests (Cai et al., 2023) <doi:10.1016/j.frl.2023.104327> and Bootstrap Fourier Granger Causality in Quantiles (Cheng et al., 2021) <doi:10.1007/s12076-020-00263-0>. All tests include bootstrap inference for robust p-values.
How to cite:
Muhammad Alkhalaf (2026). caustests: Multiple Granger Causality Tests for Time Series and Panel Data. R package version 1.1.1, https://cran.r-project.org/web/packages/caustests. Accessed 04 Oct. 2026.
Previous versions and publish date:
(2026-09-30 23:21), 1.0.2 (2026-03-12 21:10), 1.1.1 (2026-04-05 08:50)
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