Chickens, Eggs, and Causality
US chicken population and egg production.
data(ChickEgg)
An annual time series from 1930 to 1983 with 2 variables.
number of chickens (December 1 population of all US chickens excluding commercial broilers),
number of eggs (US egg production in millions of dozens).
The data set was provided by Walter Thurman and made available for R by Roger Koenker. Unfortunately, the data is slightly different than the data analyzed in Thurman & Fisher (1988).
Thurman W.N. & Fisher M.E. (1988), Chickens, Eggs, and Causality, or Which Came First?, American Journal of Agricultural Economics, 237-238.
## Which came first: the chicken or the egg?
data(ChickEgg)
## chickens granger-cause eggs?
grangertest(egg ~ chicken, order = 3, data = ChickEgg)
## eggs granger-cause chickens?
grangertest(chicken ~ egg, order = 3, data = ChickEgg)
## To perform the same tests `by hand', you can use dynlm() and waldtest():
if(require(dynlm)) {
## chickens granger-cause eggs?
em <- dynlm(egg ~ L(egg, 1) + L(egg, 2) + L(egg, 3), data = ChickEgg)
em2 <- update(em, . ~ . + L(chicken, 1) + L(chicken, 2) + L(chicken, 3))
waldtest(em, em2)
## eggs granger-cause chickens?
cm <- dynlm(chicken ~ L(chicken, 1) + L(chicken, 2) + L(chicken, 3), data = ChickEgg)
cm2 <- update(cm, . ~ . + L(egg, 1) + L(egg, 2) + L(egg, 3))
waldtest(cm, cm2)
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