pgrangertest: Panel Granger (Non-)Causality Test (Dumitrescu/Hurlin (2012))
In plm: Linear Models for Panel Data

Description Usage Arguments Details Value Author(s) References See Also Examples

Test for Granger (non-)causality in panel data.

pgrangertest(
  formula,
  data,
  test = c("Ztilde", "Zbar", "Wbar"),
  order = 1L,
  index = NULL
)

`formula`	a `formula` object to describe the direction of the hypothesized Granger causation,
`data`	a `pdata.frame` or a `data.frame`,
`test`	a character to request the statistic to be returned, either `"Ztilde"` (default), or `"Zbar"`,
`order`	integer(s) giving the number of lags to include in the test's auxiliary regressions, the length of order must be either 1 (same lag order for all individuals) or equal to the number of individuals (to specify a lag order per individual),
`index`	only relevant if `data` is `data.frame` and not a `pdata.frame`; if `NULL`, the first two columns of the data.frame are assumed to be the index variables, for further details see `pdata.frame()`.

The panel Granger (non-)causality test is a combination of Granger tests \insertCiteGRAN:69plm performed per individual. The test is developed by \insertCiteDUMI:HURL:12;textualplm, a shorter exposition is given in \insertCiteLOPE:WEBE:17;textualplm.

The formula formula describes the direction of the (panel) Granger causation where y ~ x means "x (panel) Granger causes y".

By setting argument test to either "Ztilde" (default) or "Zbar", two different statistics can be requested. "Ztilde" gives the standardised statistic recommended by Dumitrescu/Hurlin (2012) for fixed T samples. If set to "Wbar", the intermediate Wbar statistic (average of individual Granger chi-square statistics) is given which is used to derive the other two.

The Zbar statistic is not suitable for unbalanced panels. For the Wbar statistic, no p-value is available.

The implementation uses lmtest::grangertest() from package lmtest to perform the individual Granger tests.

An object of class c("pgrangertest", "htest"). Besides the usual elements of a htest object, it contains the data frame indgranger which carries the Granger test statistics per individual along the associated p-values, degrees of freedom, and the specified lag order.

Kevin Tappe

\insertRef

DUMI:HURL:12plm

\insertRef

GRAN:69plm

\insertRef

LOPE:WEBE:17plm

lmtest::grangertest() for the original (non-panel) Granger causality test in lmtest.

## not meaningful, just to demonstrate usage
## H0: 'value' does not Granger cause 'inv' for all invididuals

data("Grunfeld", package = "plm")
pgrangertest(inv ~ value, data = Grunfeld)
pgrangertest(inv ~ value, data = Grunfeld, order = 2L)
pgrangertest(inv ~ value, data = Grunfeld, order = 2L, test = "Zbar")

# varying lag order (last individual lag order 3, others lag order 2)
(pgrt <- pgrangertest(inv ~ value, data = Grunfeld, order = c(rep(2L, 9), 3L)))
# chisq statistics per individual
pgrt$indgranger