Granger Causality (GC), Granger Isolation (GI) and Granger Autonomy (GA) for the assessment of bivariate causal and non-causal interactions in linear autoregressive processes.

Time Series Forecasting - Econometrics

mVARbox is a Matlab toolbox for uni/multivariate data series analysis in both time/space and frequency domains, with focus on mutivariate autoregressive (VAR) models