View source: R/bruceR-stats_5_advance.R
granger_causality | R Documentation |
Granger test of predictive causality (between multivariate time series) based on vector autoregression model using vars::VAR()
. Its output resembles the output of the vargranger
command in Stata (but here using an F
test).
granger_causality(
varmodel,
var.y = NULL,
var.x = NULL,
test = c("F", "Chisq"),
file = NULL,
check.dropped = FALSE
)
varmodel |
VAR model fitted using |
var.y , var.x |
[Optional] Defaults to |
test |
|
file |
File name of MS Word ( |
check.dropped |
Check dropped variables. Defaults to |
Granger causality test (based on VAR model) examines whether the lagged values of a predictor (or predictors) help to predict an outcome when controlling for the lagged values of the outcome itself. Granger causality does not represent a true causal effect.
A data frame of results.
ccf_plot()
granger_test()
# R package "vars" should be installed
library(vars)
data(Canada)
VARselect(Canada)
vm = VAR(Canada, p=3)
model_summary(vm)
granger_causality(vm)
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