Grangercaus: 'Grangercaus' determines three values of BIC from a...

In tsapp: Time Series, Analysis and Application

Description

Grangercaus determines three values of BIC from a twodimensional VAR process

Usage

Grangercaus(x, y, p)

Arguments

x	first time series
y	second time series
p	maximal order of VAR process

Value

out list with components

BIC	vector of length 3:

BIC1	minimum aic value for all possible lag structures
BIC2	minimum aic value when Y is not included as regressor in the equation for X
BIC3	minimum aic value when X is not included as regressor in the equation for Y

out1	output of function lm for regression equation for x-series
out2	output of function lm for regression equation for y-series

Examples

data(ICECREAM)
out <- Grangercaus(ICECREAM[,1],ICECREAM[,2],3) 

tsapp documentation built on Oct. 30, 2021, 5:08 p.m.