LM_test_robust: LM test heteroscedastic robust
In Marga8/HDGCvar: Granger Causality Testing in High Dimensional Vector Autoregressive Models
View source: R/LM_test_robust.R
LM_test_robust R Documentation
LM test heteroscedastic robust
Description
Perform the LM test of significance of x for y given z and add the robust asymptotic test statistic.
Usage
LM_test_robust(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, finite sample corrected F, asymptotic chi square robust to heteroscedasticity and relative p values
Marga8/HDGCvar documentation built on May 25, 2024, 11:12 a.m.
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View source: R/LM_test_robust.R
| LM_test_robust | R Documentation |
LM test heteroscedastic robust
Description
Perform the LM test of significance of x for y given z and add the robust asymptotic test statistic.
Usage
LM_test_robust(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, finite sample corrected F, asymptotic chi square robust to heteroscedasticity 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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