Granger causality test for values above a threshold in time series data

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Dinuka Kankanige le 22 Août 2023

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https://fr.mathworks.com/matlabcentral/answers/2011182-granger-causality-test-for-values-above-a-threshold-in-time-series-data

Modifié(e) : Dinuka Kankanige le 22 Août 2023

Hello, I'm trying to perform the Granger causality test for two time series considering the bivariate autoregressive model as

with the condition that Y(t) > a threshold value and Y(t) > Y(t-n). Can we still use the 'gctest' function to incorporate this condition, or is there any other built-in function in MATLAB to use for this specific condition of Granger causality? Your suggestions are much appreciated.

(R2023a)