granger_test: Compute a Granger Causality test
In jmzobitz/FLUXNETGranger:
Description
Usage
Arguments
Value
Author(s)
Description
Given an x (predictor) and y (response) variable, determine if x causes way at the given lag. Uses the F test statistic to compare/evaluate. The Null Hypothesis (H0) is that Time series x does not Granger-cause time series y, and the Alternative Hypothesis (HA): Time series x Granger-causes time series y
Usage
1
granger_test(x, y, alpha, max_lag = 1)
Arguments
x
Predictor variable (can be a vector)
y
Response variable (can be a vector)
alpha
the significance level
max_lag
the maximum number of lags to be considered
Value
A data frame that reports the F statistic, the critical value, and if F > c_v. (if F > c_v we reject the null hypothesis that x does not Granger Cause y)
Author(s)
John Zobitz zobitz@augsburg.edu, based on code from Chandler Lutz, UCR 2009 (https://www.mathworks.com/matlabcentral/fileexchange/25467-granger-causality-test).
jmzobitz/FLUXNETGranger documentation built on Dec. 21, 2021, 1:13 a.m.
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Description Usage Arguments Value Author(s)
Description
Given an x (predictor) and y (response) variable, determine if x causes way at the given lag. Uses the F test statistic to compare/evaluate. The Null Hypothesis (H0) is that Time series x does not Granger-cause time series y, and the Alternative Hypothesis (HA): Time series x Granger-causes time series y
Usage
1 | granger_test(x, y, alpha, max_lag = 1)
|
Arguments
x |
Predictor variable (can be a vector) |
y |
Response variable (can be a vector) |
alpha |
the significance level |
max_lag |
the maximum number of lags to be considered |
Value
A data frame that reports the F statistic, the critical value, and if F > c_v. (if F > c_v we reject the null hypothesis that x does not Granger Cause y)
Author(s)
John Zobitz zobitz@augsburg.edu, based on code from Chandler Lutz, UCR 2009 (https://www.mathworks.com/matlabcentral/fileexchange/25467-granger-causality-test).
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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