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

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Dinuka Kankanige el 22 de Ag. de 2023

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

Editada: Dinuka Kankanige el 22 de Ag. de 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)