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Test for Conditional Granger Causality

ms_condgrangertest.Rd

Faster implementation of the vector version of lmtest::grangertest() with conditioning on the history of a third variable. The function assumes time series always have the same start date and periodicity, which is true for the data in this package.

Usage

ms_condgrangertest(x, y, z, order = 1, na.action = stats::na.omit, ...)

Arguments

x

response vector of observations.

y

explanatory vector of observations.

z

conditioning vector of observations

order

number of lags (in frames).

na.action

a function for eliminating NAs after aligning the series x and y.

...

passed to lmtest::waldtest().

Value

Anova object

See also

Other Granger Causality: autoplot.GrangerTime(), get_granger_interactions(), granger_test(), map_to_granger_test(), ms_grangertest1(), ms_grangertest2(), plot.GrangerInteraction(), plot_influence_diagram()

Examples

data(wages, package = "lmtest")
diff_wages <- diff(wages)

# Granger tests
lmtest::grangertest(diff_wages[, 'w'], diff_wages[, 'CPI'], order = 3)
#> Granger causality test
#> 
#> Model 1: diff_wages[, "CPI"] ~ Lags(diff_wages[, "CPI"], 1:3) + Lags(diff_wages[, "w"], 1:3)
#> Model 2: diff_wages[, "CPI"] ~ Lags(diff_wages[, "CPI"], 1:3)
#>   Res.Df Df      F  Pr(>F)  
#> 1      7                    
#> 2     10 -3 7.5653 0.01338 *
#> ---
#> Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
ms_grangertest1(diff_wages[, 'w'], diff_wages[, 'CPI'], order = 3)
#> Granger causality test
#> 
#> Model 1: diff_wages[, "CPI"] ~ Lags(diff_wages[, "CPI"], 1:3) + Lags(diff_wages[, "w"], 1:3)
#> Model 2: diff_wages[, "CPI"] ~ Lags(diff_wages[, "CPI"], 1:3)
#>   Res.Df Df      F  Pr(>F)  
#> 1      7                    
#> 2     10 -3 7.5653 0.01338 *
#> ---
#> Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
ms_grangertest2(diff_wages[, 'w'], diff_wages[, 'CPI'], order = 3)
#> Granger causality test
#> 
#> Model 1: diff_wages[, "CPI"] ~ Lags(diff_wages[, "CPI"], 1:3) + Lags(diff_wages[, "w"], 1:3)
#> Model 2: diff_wages[, "CPI"] ~ Lags(diff_wages[, "CPI"], 1:3)
#>   Res.Df Df      F  Pr(>F)  
#> 1      7                    
#> 2     10 -3 7.5653 0.01338 *
#> ---
#> Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

ms_condgrangertest(diff_wages[, 'w'], diff_wages[, 'CPI'], diff_wages[, 'u'], order = 3)
#> Conditional Granger causality test
#> Model 1: diff_wages[, "CPI"] ~ Lags(diff_wages[, "CPI"], 1:3) + Lags(diff_wages[, "w"], 1:3) + Lags(diff_wages[, "u"], 1:3)
#> Model 2: diff_wages[, "CPI"] ~ Lags(diff_wages[, "CPI"], 1:3) + Lags(diff_wages[, "u"], 1:3)
#> 
#>   Res.Df Df      F  Pr(>F)  
#> 1      4                    
#> 2      7 -3 5.7136 0.06273 .
#> ---
#> Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1