granger_matrix: Granger Causality Matrix
In rbfmvar: Residual-Based Fully Modified Vector Autoregression
granger_matrix R Documentation
Granger Causality Matrix
Description
Computes pairwise Granger causality tests for all variable pairs.
Usage
granger_matrix(object)
Arguments
object
An rbfmvar object.
Value
A matrix of p-values for all pairwise Granger causality tests.
Row i, column j contains the p-value for "variable j causes variable i".
Examples
# Generate example data
set.seed(123)
n <- 100
mydata <- data.frame(x = cumsum(rnorm(n)), y = cumsum(rnorm(n)))
fit <- rbfmvar(mydata, lags = 2)
granger_matrix(fit)
rbfmvar documentation built on April 9, 2026, 9:08 a.m.
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| granger_matrix | R Documentation |
Granger Causality Matrix
Description
Computes pairwise Granger causality tests for all variable pairs.
Usage
granger_matrix(object)
Arguments
object |
An |
Value
A matrix of p-values for all pairwise Granger causality tests. Row i, column j contains the p-value for "variable j causes variable i".
Examples
# Generate example data
set.seed(123)
n <- 100
mydata <- data.frame(x = cumsum(rnorm(n)), y = cumsum(rnorm(n)))
fit <- rbfmvar(mydata, lags = 2)
granger_matrix(fit)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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