Porovnat metody

	Nelineární kauzalitní test Toda-Yamamota	Grangerův test kauzality
Obor	Ekonometrie	Ekonometrie
Rodina	Regression model	Regression model
Rok vzniku	1995 (base); nonlinear extensions 2000s–2010s	1969
Tvůrce	Toda & Yamamoto (1995) for the linear base; nonlinear extension developed by subsequent researchers applying rank transformations or neural-network-augmented VAR	Clive W. J. Granger
Typ	Causality test	Time-series predictive causality test
Původní zdroj	Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.	Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438.
Další názvy	nonlinear TY causality, rank-based Toda-Yamamoto test, modified Wald nonlinear causality, NTY causality test	Granger causality test, Granger non-causality test, predictive causality test, Granger Nedensellik Testi
Příbuzné	5	5
Shrnutí	The Nonlinear Toda-Yamamoto causality test extends the classic Toda-Yamamoto (1995) modified Wald procedure to detect causal linkages that are hidden in the means of series but manifest through nonlinear dynamics such as asymmetries, threshold effects, or volatility transmission. It fits an augmented VAR on rank-transformed or otherwise nonlinearly mapped series and applies a chi-squared Wald test on the extra-lag coefficients.	The Granger causality test, introduced by Clive W. J. Granger in 1969, assesses whether the past values of one time series help predict another beyond what the latter's own past already explains. It defines causality in a strictly predictive sense rather than as a structural or physical cause.