GrangerCausalityTest: Granger Causality Test

In Mthrun/TSAT: Time Series Analysis Tools (TSAT)

Granger Causality Test

Description

Granger Causality Test is a statistical hypothesis test for determining whether one time series is useful in forecasting another

Usage

GrangerCausalityTest(TimeSeries1, TimeSeries2, Order = 1)

Arguments

TimeSeries1	[1:n] numerical vector
TimeSeries2	[1:n] numerical vector
Order	Lags include into rauxiliary regression

Details

TimeSeries1 is assumed as the cause for TimeSeries2. Function uses grangertest and causality.

Value

List with

WaldTest	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, see grangertest
VARtest	Computes the test statistics for Granger- and Instantaneous causality for a VAR(p), see causality

Author(s)

Michael Thrun

References

Granger, C. W. J.: Investigating Causal Relations by Econometric Models and Cross-spectral Methods, Econometrica, 37 (3), pp. 424–438, doi:10.2307/1912791, 1969.

See Also

grangertest, waldtest, causality

Examples

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Mthrun/TSAT documentation built on Feb. 5, 2024, 11:15 p.m.