Dear Chris,
I do not have the references here, but AFAIR:
if x and y are two time series, we say that "x does not Granger-cause
y"
(x ngc y) if the models
(1) y~y(-1)+y(-2)+...+x(-1)+x(-2)+...
and
(2) y~y(-1)+y(-2)+...
are "equivalent", i.e. if past values of x "do not help
explaining" y.
The Granger test is thus the exclusion test for the lagged x in (1) (see
?grangertest).
The Sims test, which is equivalent to the Granger test under certain
circumstances, substitutes (1) with
(3) y~x(-1)+x(-2)+...+x(+1)+x(+2)+...
We could well consider including this in lmtest one day: I'll speak to
the maintainer. For now, as the current grangertest.default() method is
based on waldtest() and lag(), which last works symmetrically, a quick
hack is straightforward. I am including it for your convenience, but
without any guarantee (my quick hacks don't usually work properly in the
first place).
I suggest you check the results by building up the two test models "by
hand" and comparing them through waldtest{lmtest}.
HTH
Giovanni
** Original message **
Message: 8
Date: Mon, 9 Apr 2007 08:25:23 -0400
From: "Chris Elsaesser" <chris.elsaesser at spadac.com>
Subject: [R] Modified Sims test
To: <r-help at stat.math.ethz.ch>
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<04C44D9F040C8A43A18D04F65A8B68BB7D8344 at spatcex001.spadac.com>
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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 Systems: Analytic Results and Experimental
Evidence." Journal of Econometrics, 83, 161-194.
Granger, C.W.J. (1969), "Investigating Causal Relations by Econometric
Methods and Cross-Spectral Methods," Econometrica, 34, 424-438.
Sims, C. (1972), "Money, Income and Causality," American Economic
Review, 62, 540-552.
Chris Elsaesser, PhD 703.637.9421 (o)
Principal Geospatial Scientist 703.371.7301 (m)
SPADAC Inc.
7921 Jones Branch Dr. Suite 600
McLean, VA 22102
------------------------------
Giovanni Millo
Research Dept.,
Assicurazioni Generali SpA
Via Machiavelli 4,
34131 Trieste (Italy)
tel. +39 040 671184
fax +39 040 671160
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