granger_test: Granger causality test (bivariate).

In bruceR: Broadly Useful Convenient and Efficient R Functions

Granger causality test (bivariate).

Description

Granger test of predictive causality (between two time series) using lmtest::grangertest().

Usage

granger_test(formula, data, lags = 1:5, test.reverse = TRUE, file = NULL, ...)

Arguments

formula	Model formula like y ~ x.
data	Data frame.
lags	Time lags. Defaults to 1:5.
test.reverse	Whether to test reverse causality. Defaults to TRUE.
file	File name of MS Word (".doc").
...	Arguments passed on to lmtest::grangertest(). For example, you may use robust standard errors by specifying the vcov argument (see GitHub Issue #23).

Details

Granger causality test examines whether the lagged values of a predictor have an incremental role in predicting (i.e., help to predict) an outcome when controlling for the lagged values of the outcome. Granger causality does not represent a true causal effect.

Value

A data frame of results.

See Also

ccf_plot()

granger_causality()

Examples

granger_test(chicken ~ egg, data=lmtest::ChickEgg)
granger_test(chicken ~ egg, data=lmtest::ChickEgg, lags=1:10, file="Granger.doc")
unlink("Granger.doc")  # delete file for code check

bruceR documentation built on Aug. 21, 2025, 5:38 p.m.