tsp.toda_yamamoto: Toda and Yamamoto Causality Test

In espher1987/tseries.plot: Time Series Plot

Toda and Yamamoto Causality Test

Description

Toda and Yamamoto Causality Test

Usage

tsp.toda_yamamoto(
  data,
  p = NULL,
  d = NULL,
  criteria = c("aic", "hq", "sc", "fpe"),
  test = c("adf", "kpss", "pp"),
  ...
)

Arguments

data	object of class mts created with ts()
p	lag order for VAR, use vars::VARselect(), if NULL (default) automatic value is calculated
d	max integration order I(d), if NULL (default) automatic value is calculated
criteria	information criteria for automatic p order, used in vars::VARselect()
test	Type of unit root test to use for automatic d value, used in forecast::ndiffs()
...	extra parameters used in vars::VAR()

Value

list object with VAR and Toda-Yamamoto causality test

Examples

library(tseries.plot)
library(vars)
data("Canada")
tsp.toda_yamamoto(Canada,1,1,type="both")

espher1987/tseries.plot documentation built on Nov. 2, 2022, 5:48 p.m.