Description Usage Arguments Details Value

To do the granger test between two time series

1 | ```
grangerTest(x, y, order)
``` |

`x` |
A vector represents one variable |

`y` |
A vector represents another variable |

`order` |
a number indicating the time order in line model |

The model used in this function is just linear model(lm), the way to estimate the linear model is OLS. To consider the model is consistent, dw value should be between 2 and 3.

A dataframe including sic items: order, EU_Y is the sum of residuals squares in restricted model, aicEU_Y is the AIC value in restricted model, EUY is the sum of residuals squares in unrestricted model, aicEUY is the AIC value in unrestricted model, dw is the Durbin-Watson test value.

chengfeifan/Causality documentation built on May 13, 2019, 3:40 p.m.

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