Feature: Adding granger_causality_test()

[Magnus167]

Added a function that runs a Granger causality test with the following parameters and dosctrings.

Run Granger Causality Test on a standardized quantamental dataframe.
Since the Graner Causality Test is a pairwise test, only two tickers can be specified.
Specify either `tickers` or `cids` & `xcats`. When specifying `cids` & `xcats`, the
user may input one `cid` and two `xcats`; or two `cids` and one `xcat` to yield two
tickers. The function forms the list of tickers from the `cids` and `xcats` such that
the order of the formed tickers is preserved. The order of the tickers is important
as the first ticker is the one that is tested to Granger cause the second ticker.
The function tests whether the first ticker Granger causes the second ticker.

:param <pd.DataFrame> df: A standardized quantamental dataframe.
:param <List[str]> tickers: A list of tickers to run the test on. A maximum of two
    tickers can be specified.
:param <Union[str, List[str]]> cids: One or two cids to run the test on. If two cids
    are specified, then only one xcat can be specified. If one cid is specified, then
    two xcats can be specified.
:param <Union[str, List[str]]> xcats: One or two xcats to run the test on. If two
    xcats are specified, then only one cid can be specified. If one xcat is specified,
    then two cids can be specified.
:param <Union[int, List[int]]> max_lag: If `max_lag` is an integer, then the function
    computes the test for all lags up to `max_lag`. If `max_lag` is a list of integers,
    then the function computes the test only for lags specified in the list.
:param <bool> add_constant: Whether to add a constant to the regression.
:param <str> freq: The frequency to downsample the data to. Must be one of "D", "W",
    "M", "Q", "A". Default is "M".
:param <str> agg: The aggregation method to use when downsampling the data. Must be
    one of "mean" (default), "median", "min", "max", "first" or "last".
:param <str> start: The start date of the data. Must be a valid ISO date. If not
    specified, the earliest date in `df` is used.
:param <str> end: The end date of the data. Must be a valid ISO date. If not
    specified, the latest date in `df` is used.
:param <str> metric: The metric to run the test on. Must be a column in `df`.
    Default is "value".

[codecov]

Codecov Report

Merging #1148 (40a7a27) into develop (b8df38a) will increase coverage by 0.46%.
Report is 1 commits behind head on develop.
The diff coverage is 100.00%.

❗ Current head 40a7a27 differs from pull request most recent head 1c9cec1. Consider uploading reports for the commit 1c9cec1 to get more accurate results

Additional details and impacted files

@@             Coverage Diff             @@
##           develop    #1148      +/-   ##
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+ Coverage    78.57%   79.03%   +0.46%     
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  Files           61       62       +1     
  Lines         5059     5157      +98     
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+ Hits          3975     4076     +101     
+ Misses        1084     1081       -3     

Files	Coverage Δ
macrosynergy/panel/__init__.py	100.00% <100.00%> (ø)
macrosynergy/panel/granger_causality_test.py	100.00% <100.00%> (ø)

... and 2 files with indirect coverage changes

[rsueppel]

This should be an experimental internal-only function at this stage. I added an issue for a proper package class but it does not have top priority right now.