格兰杰因果检验

maxlag=2)。

import pandas as pd
from statsmodels.tsa.stattools import grangercausalitytests
import warnings
warnings.filterwarnings('ignore')

def solve():
    url = 'https://liangdaima.com/static/data/aec/300.xlsx'
    df = pd.read_excel(url)
    data = df[['hs300', 'sz']].diff().dropna()
    result = grangercausalitytests(data[['hs300', 'sz']], maxlag=2, verbose=False)
    f_stat = result[1][0]['ssr_ftest'][0]
    print(f'{f_stat:.4f}')