  We present the Granger causality (GC) test for the X-ray reverberation
analysis of Active Galactic Nuclei (AGN). If the light curves in the
continuum-dominated band help predict (Granger cause) those dominated by
reflection, the Granger lags that associate to the intrinsic reverberation lags
can be inferred. We focus on six AGN observed by XMM-Newton, including the
sources well-known to exhibit clear X-ray reverberation lags (IRAS 13224-3809
and 1H 0707-495) and those in which reverberation signatures are not well
confirmed (MCG-6-30-15, IZW1, Mrk 704 and Mrk 1040). We employ the
sliding-window algorithm and estimate the Granger (intrinsic) Fe-L lags along
the light curve as the window moves through. This reveals the evolving lags
towards the end of some individual observations, suggesting that the corona
varies progressively. Occasionally, we observe two clearly separate lags that
suggest an extended corona consisting of two zones while producing competing
reverberation of two lags. While the GC test is purely hypothetical and might
not explain true causality, our conclusion is that the lags are present and
could be understood as reverberation lags. Assuming the lags changing solely
with the corona, we find that the IRAS 13224-3809 corona varies between $\sim
10$-$25$ $r_{\rm g}$ and sometimes move to $\gtrsim 50$ $r_{\rm g}$. The corona
of 1H 0707-495 and MCG-6-30-15 may be analogous to that of IRAS 13224-3809,
while in IZw1, Mrk 704 and Mrk 1040 a more compact corona is expected.
