granger.test: Bivariate Granger causality testing

In MSBVAR: Markov-Switching, Bayesian, Vector Autoregression Models

Description

Bivariate Granger causality testing for multiple time series.

Usage

granger.test(y, p)

Arguments

y	T x m time series or matrix.
p	Lag length to be used for computing the test

Details

Estimates all possible bivariate Granger causality tests for m variables. Bivariate Granger causality tests for two variables X and Y evaluate whether the past values of X are useful for predicting Y once Y's history has been modeled. The null hypothesis is that the past p values of X do not help in predicting the value of Y.

The test is implemented by regressing Y on p past values of Y and p past values of X. An F-test is then used to determine whether the coefficients of the past values of X are jointly zero.

This produces a matrix with m*(m-1) rows that are all of the possible bivariate Granger causal relations. The results include F-statistics and p-values for each test. Tests are estimated using single equation OLS models.

Value

A matrix with 2 columns. Column 1 are the F-statistic values. Column 2 are the p-values for the F-tests. Row labels specifying the Granger causality relationship tested will be included if variables in the input time series y include variable or dimnames.

Note

These are bivariate tests – not block exogeneity tests for a fitted VAR model. Note also that these tests are highly sensitive to lag length (p) and the presence of unit roots. Results in the matrix include row labels for nice printing with xtable()

Author(s)

Patrick T. Brandt

References

Granger, C.W.J. 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods" Econometrica 37:424-438.

Sims, C.A. 1972. "Money, Income, and Causality" American Economic Review. 62:540-552.

See Also

reduced.form.var for frequentist VAR estimation, szbvar for Bayesian VAR estimation with Sims-Zha prior, var.lag.specification for VAR lag length testing.

Examples

data(IsraelPalestineConflict)
granger.test(IsraelPalestineConflict, p=6)

MSBVAR documentation built on May 30, 2017, 1:23 a.m.