R/causality_sh.R

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

#' Causality Analysis for class "varshrinkest"
#'
#' A modification of vars::causality() for the class "varshrinkest".
#' @param x An object of class "varshrinkest" obtained by VARshrink().
#' @param cause,vcov.,boot,boot.runs Other arguments for
#'   causality analysis; see help(causality) for details.
#' @examples
#' data(Canada, package = "vars")
#' y <- diff(Canada)
#' estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
#' causality_sh(estim, cause = "e")
#' @seealso \code{\link[vars]{causality}}
#' @export
causality_sh <- function(x, cause = NULL, vcov. = NULL,
                         boot = FALSE, boot.runs = 100) {
  if (inherits(x, "varest")) {
    class(x) <- "varest"
  } else {
    stop("\nPlease provide an object inheriting class 'varest'.\n")
  }
  x$datamat <- as.data.frame(x$datamat)
  result <- vars::causality(x, cause = cause, vcov. = vcov., boot = boot,
                            boot.runs = boot.runs)
  return(result)
}