grangertest | R Documentation |
grangertest
is a generic function for performing
a test for Granger causality.
## Default S3 method: grangertest(x, y, order = 1, na.action = na.omit, ...) ## S3 method for class 'formula' grangertest(formula, data = list(), ...)
x |
either a bivariate series (in which case |
y |
a univariate series of observations (if |
order |
integer specifying th order of lags to include in the auxiliary regression. |
na.action |
a function for eliminating |
... |
further arguments passed to |
formula |
a formula specification of a bivariate series like |
data |
an optional data frame containing the variables in the
model. By default the variables are taken from the environment
which |
Currently, the methods for the generic function grangertest
only
perform tests for Granger causality in bivariate series. The test is simply
a Wald test comparing the unrestricted model—in which y
is explained
by the lags (up to order order
) of y
and x
—and the
restricted model—in which y
is only explained by the lags of y
.
Both methods are simply convenience interfaces to waldtest
.
An object of class "anova"
which contains the residual degrees of freedom,
the difference in degrees of freedom, Wald statistic and corresponding p value.
waldtest
, ChickEgg
## Which came first: the chicken or the egg? data(ChickEgg) grangertest(egg ~ chicken, order = 3, data = ChickEgg) grangertest(chicken ~ egg, order = 3, data = ChickEgg) ## alternative ways of specifying the same test grangertest(ChickEgg, order = 3) grangertest(ChickEgg[, 1], ChickEgg[, 2], order = 3)
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