Granger causality test.
Granger test of predictive causality (between two time-series variables)
using the lmtest::grangertest() function.
granger_test(formula, data, lags = 1:5, test.reverse = FALSE)
formula |
Model formula like |
data |
Data frame. |
lags |
Time lags. Default is |
test.reverse |
Whether to test reverse causality. Default is |
The Granger causality test can examine whether the lagged values of a predictor have any incremental role in predicting an outcome if controlling for the lagged values of the outcome itself. It compares the two models by using an F test.
No return value.
granger_test(chicken ~ egg, data=lmtest::ChickEgg) granger_test(chicken ~ egg, data=lmtest::ChickEgg, lags=1:10, test.reverse=TRUE)
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