Test for Granger Causality
grangertest is a generic function for performing
a test for Granger causality.
## Default S3 method: grangertest(x, y, order = 1, na.action = na.omit, ...) ## S3 method for class 'formula' grangertest(formula, data = list(), ...)
x |
either a bivariate series (in which case |
y |
a univariate series of observations (if |
order |
integer specifying th order of lags to include in the auxiliary regression. |
na.action |
a function for eliminating |
... |
further arguments passed to |
formula |
a formula specification of a bivariate series like |
data |
an optional data frame containing the variables in the
model. By default the variables are taken from the environment
which |
Currently, the methods for the generic function grangertest only
perform tests for Granger causality in bivariate series. The test is simply
a Wald test comparing the unrestricted model—in which y is explained
by the lags (up to order order) of y and x—and the
restricted model—in which y is only explained by the lags of y.
Both methods are simply convenience interfaces to waldtest.
An object of class "anova" which contains the residual degrees of freedom,
the difference in degrees of freedom, Wald statistic and corresponding p value.
## Which came first: the chicken or the egg? data(ChickEgg) grangertest(egg ~ chicken, order = 3, data = ChickEgg) grangertest(chicken ~ egg, order = 3, data = ChickEgg) ## alternative ways of specifying the same test grangertest(ChickEgg, order = 3) grangertest(ChickEgg[, 1], ChickEgg[, 2], order = 3)
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