Uni-Directional Causation

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Description

Returns the uni-directional causality from observational data between two variables. Causation nets out the univariate effect.

Usage

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Uni.caus(x, y, tau)

Arguments

x

Variable

y

Variable

tau

Number of lagged observations to consider

Author(s)

Fred Viole, OVVO Financial Systems

Examples

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set.seed(123)
x<-rnorm(100); y<-rnorm(100)
Uni.caus(x,y,3)