LM_test: LM test
In Marga8/HDGCvar: Granger Causality Testing in High Dimensional Vector Autoregressive Models
LM_test R Documentation
LM test
Description
Perform the LM test of significance of x for y given z.
Usage
LM_test(y, x, z, I = 1)
Arguments
y
dependent variable: Granger-caused
x
Granger causing variable, all its lags
z
conditioning set of variables
I
the numberr of dependent variables, that is number of equations in the VAR.
Value
test statistics, both asymptotic chi square and finite sample corrected F and relative p values
Marga8/HDGCvar documentation built on May 25, 2024, 11:12 a.m.
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| LM_test | R Documentation |
LM test
Description
Perform the LM test of significance of x for y given z.
Usage
LM_test(y, x, z, I = 1)
Arguments
y |
dependent variable: Granger-caused |
x |
Granger causing variable, all its lags |
z |
conditioning set of variables |
I |
the numberr of dependent variables, that is number of equations in the VAR. |
Value
test statistics, both asymptotic chi square and finite sample corrected F and relative p values
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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