Test for Granger Causality

Faster implementation of the vector version of lmtest::grangertest() which uses a vectorised lag operation.

Usage

ms_grangertest1(x, y, order = 1, na.action = stats::na.omit, ...)

Arguments

x

either a bivariate series (in which case y has to be missing) or a univariate series of observations.

y

a univariate series of observations (if x is univariate, too).

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_condgrangertest(), ms_grangertest2(), plot.GrangerInteraction(), plot_influence_diagram()

Examples

data(ChickEgg, package = "lmtest")
ms_grangertest1(ChickEgg, order = 3)
#> Granger causality test
#> 
#> Model 1: egg ~ Lags(egg, 1:3) + Lags(chicken, 1:3)
#> Model 2: egg ~ Lags(egg, 1:3)
#>   Res.Df Df      F Pr(>F)
#> 1     44                 
#> 2     47 -3 0.5916 0.6238