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ewerk
2007 Apr 09
1
Modified Sims test
Does anyone know of a package that includes the Modified Sims test
[Gewerke, 1983, Sims, 1972]?
This test is used in econometrics and is a kind of alternative to the
Granger test [Granger, 1969], which is in the package lmtest.
Thanks in advance,
chris
Refernces:
Gewerke, J., R. Meese, and W. Dent (1983), "Comparing Alternative Tests
of Causality in Temporal Sys...