grangersearch: An R Package for Exhaustive Granger Causality Testing with Tidyverse Integration
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arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2026
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| _version_ | 1866918271770427392 |
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| author | Korfiatis, Nikolaos |
| author_facet | Korfiatis, Nikolaos |
| contents | This paper introduces grangersearch, an R package for performing exhaustive Granger causality searches on multiple time series. The package provides: (1) exhaustive pairwise search across multiple variables, (2) automatic lag order optimization with visualization, (3) tidyverse-compatible syntax with pipe operators and non-standard evaluation, and (4) integration with the broom ecosystem through tidy() and glance() methods. The package wraps the vars infrastructure while providing a simple interface for exploratory causal analysis. We describe the statistical methodology, demonstrate the package through worked examples, and discuss practical considerations for applied researchers. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_01604 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | grangersearch: An R Package for Exhaustive Granger Causality Testing with Tidyverse Integration Korfiatis, Nikolaos Computation Machine Learning 62M10, 62-04 62M10, 62-04 62M10, 62-04 This paper introduces grangersearch, an R package for performing exhaustive Granger causality searches on multiple time series. The package provides: (1) exhaustive pairwise search across multiple variables, (2) automatic lag order optimization with visualization, (3) tidyverse-compatible syntax with pipe operators and non-standard evaluation, and (4) integration with the broom ecosystem through tidy() and glance() methods. The package wraps the vars infrastructure while providing a simple interface for exploratory causal analysis. We describe the statistical methodology, demonstrate the package through worked examples, and discuss practical considerations for applied researchers. |
| title | grangersearch: An R Package for Exhaustive Granger Causality Testing with Tidyverse Integration |
| topic | Computation Machine Learning 62M10, 62-04 62M10, 62-04 62M10, 62-04 |
| url | https://arxiv.org/abs/2601.01604 |