search for: grangertest

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: >...

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

Hi useRs.. I cant figure out how to test for causality using causality() in vars package I have two datasets (A, B) and i want to test if A (Granger)cause B. How do I write the script? I dont understand ?causality. How do I get x to "contain" A and B. Further using the command VAR() to specify x, I dont either understand. Kind regards Tobias -- View this message in context:

Dear R Users, Can someone point me to a R package which will help me optimally choose a lag for Granger Causality testing ? Many 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