R help - Aug 2008 - grangertest/lmtest ... what am I doing wrong ?

Dear Achim, R Users,

What am I doing wrong in this example ?

a<-zoo(rnorm(100),order.by=1:100)
b<-lag(a)
regr<-na.exclude(merge(a,b))
plot(regr)
grangertest(regr[,1],regr[,2],3)
> a<-zoo(rnorm(100),order.by=1:100)
> b<-lag(a)
> regr<-na.exclude(merge(a,b))
> plot(regr)
> grangertest(regr[,1],regr[,2],3)
Error in solve(vc[ovar, ovar]) : subscript out of bounds
> 
This works fine in granger.test from the MSBVAR package:
> a<-zoo(rnorm(100),order.by=1:100)
> b<-lag(a)
> regr<-na.exclude(merge(a,b))
> plot(regr)
> granger.test(regr,3)
        F-statistic   p-value
b -> a 1.259314e+34 0.0000000
a -> b 6.167865e-01 0.6059222
> 
Thanks in advance,
Tolga

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There is something wrong with the description below
since MSBVAR has granger.test, not grangertest,
and it takes 2 args, not 3.  This refers to 0.3-1 of
MSBVAR.

On Sun, Aug 17, 2008 at 9:07 AM,  <tolga.i.uzuner at jpmorgan.com>
wrote:
> Dear Achim, R Users,
>
> What am I doing wrong in this example ?
>
> a<-zoo(rnorm(100),order.by=1:100)
> b<-lag(a)
> regr<-na.exclude(merge(a,b))
> plot(regr)
> grangertest(regr[,1],regr[,2],3)
>
>> a<-zoo(rnorm(100),order.by=1:100)
>> b<-lag(a)
>> regr<-na.exclude(merge(a,b))
>> plot(regr)
>> grangertest(regr[,1],regr[,2],3)
> Error in solve(vc[ovar, ovar]) : subscript out of bounds
>>
>
> This works fine in granger.test from the MSBVAR package:
>
>> a<-zoo(rnorm(100),order.by=1:100)
>> b<-lag(a)
>> regr<-na.exclude(merge(a,b))
>> plot(regr)
>> granger.test(regr,3)
>        F-statistic   p-value
> b -> a 1.259314e+34 0.0000000
> a -> b 6.167865e-01 0.6059222
>>
>
> Thanks in advance,
> Tolga
>
> Generally, this communication is for informational purposes only
> and it is not intended as an offer or solicitation for the purchase
> or sale of any financial instrument or as an official confirmation
> of any transaction. In the event you are receiving the offering
> materials attached below related to your interest in hedge funds or
> private equity, this communication may be intended as an offer or
> solicitation for the purchase or sale of such fund(s).  All market
> prices, data and other information are not warranted as to
> completeness or accuracy and are subject to change without notice.
> Any comments or statements made herein do not necessarily reflect
> those of JPMorgan Chase & Co., its subsidiaries and affiliates.
>
> This transmission may contain information that is privileged,
> confidential, legally privileged, and/or exempt from disclosure
> under applicable law. If you are not the intended recipient, you
> are hereby notified that any disclosure, copying, distribution, or
> use of the information contained herein (including any reliance
> thereon) is STRICTLY PROHIBITED. Although this transmission and any
> attachments are believed to be free of any virus or other defect
> that might affect any computer system into which it is received and
> opened, it is the responsibility of the recipient to ensure that it
> is virus free and no responsibility is accepted by JPMorgan Chase &
> Co., its subsidiaries and affiliates, as applicable, for any loss
> or damage arising in any way from its use. If you received this
> transmission in error, please immediately contact the sender and
> destroy the material in its entirety, whether in electronic or hard
> copy format. Thank you.
> Please refer to http://www.jpmorgan.com/pages/disclosures for
> disclosures relating to UK legal entities.
>        [[alternative HTML version deleted]]
>
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On Sun, 17 Aug 2008, tolga.i.uzuner at jpmorgan.com wrote:
> Dear Achim, R Users,
>
> What am I doing wrong in this example ?
The Granger test of x and y with lag k tests the significance of the x 
variables in
   y ~ Lags(y, 1:k) + Lags(x, 1:k)
If x is already a lag of y (as in your example), this is not really 
meaningful. In the "lmtest" implementation, it leads to
collinearities.
I'm not sure what MSBVAR does to resolve that.
Z
> a<-zoo(rnorm(100),order.by=1:100)
> b<-lag(a)
> regr<-na.exclude(merge(a,b))
> plot(regr)
> grangertest(regr[,1],regr[,2],3)
>
>> a<-zoo(rnorm(100),order.by=1:100)
>> b<-lag(a)
>> regr<-na.exclude(merge(a,b))
>> plot(regr)
>> grangertest(regr[,1],regr[,2],3)
> Error in solve(vc[ovar, ovar]) : subscript out of bounds
>>
>
> This works fine in granger.test from the MSBVAR package:
>
>> a<-zoo(rnorm(100),order.by=1:100)
>> b<-lag(a)
>> regr<-na.exclude(merge(a,b))
>> plot(regr)
>> granger.test(regr,3)
>        F-statistic   p-value
> b -> a 1.259314e+34 0.0000000
> a -> b 6.167865e-01 0.6059222
>>
>
> Thanks in advance,
> Tolga
>
> Generally, this communication is for informational pur...{{dropped:30}}