causality_sh: Causality Analysis

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

Causality Analysis

Description

Computes the test statistics for Granger- and Instantaneous causality for a VAR(p).

Usage

causality_sh(x, cause = NULL, vcov. = NULL, boot = FALSE, boot.runs = 100)

Arguments

x	An object of class "varshrinkest" obtained by VARshrink().
cause, vcov., boot, boot.runs	Other arguments for causality analysis; see help(causality) for details.

Details

This function runs vars::causality() for an object of class "varshrinkest".

Value

A list of class attribute "htest" with the following elements: Granger, Instant.

See Also

causality

Examples

data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
causality_sh(estim, cause = "e")

VARshrink documentation built on Jan. 10, 2026, 1:06 a.m.