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

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Dinuka Kankanige
Dinuka Kankanige 2023-8-22
编辑： Dinuka Kankanige 2023-8-22
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)

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