Displaying 20 results from an estimated 9000 matches similar to: "test for causality"
2009 Nov 16
2
test for causality
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
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2010 Dec 01
1
Wiener-Granger Causality Test in R
Hello dudes.
I'm developing VAR analysis based on suggestions made by Horváth in its
paper Canonical Correlation Analysis and Wiener-Granger Causality Tests.
That's the reason I'm looking for if there's any R package to develop Wiener
- Granger Causality Test.
Thanks a lot for your unvaluable help.
Regards from Mexico
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2011 Apr 14
1
Automatically extract info from Granger causality output
Dear Community,
this is my first programming in R and I am stuck with a problem. I
have the following code which automatically calculates Granger
causalities from a variable, say e.g. "bs" as below, to all other
variables in the data frame:
log.returns<-as.data.frame( lapply(daten, function(x) diff(log(ts(x)))))
y1<-log.returns$bs
y2<- log.returns[,!(names(log.returns) %in%
2010 Nov 03
0
Granger causality with panel data (econometrics question)
Hi folks,
I am trying to perform a Granger causality analysis with panel data. There
are some packages around for panel data analysis and Granger causality.
However, I have found neither a package for both panel data and Granger
causality nor any R procedures (homogenous/heterogenous causality
hypotheses, related tests such as Wald, unit root tests etc.).
Of course, someone must have
2011 Mar 03
2
Multivariate Granger Causality Tests
Dear Community,
For my masters thesis I need to perform a multivariate granger causality
test. I have found a code for bivariate testing on this page
(http://www.econ.uiuc.edu/~econ472/granger.R.txt), which I think would not
be useful for the multivariate case. Does anybody know a code for a
multivariate granger causality test. Thank you in advance.
Best Regards
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2011 Apr 04
1
Granger Causality in a VAR Model
Dear Community,
I am new to R and have a question concerning the causality () test in
the vars package. I need to test whether, say, the variable y Granger
causes the variable x, given z as a control variable.
I estimated the VAR model as follows: >model<-VAR(cbind(x,y,z),p=2)
Then I did the following: >causality(model, cause="y"). I thing this
tests the Granger causality of
2002 Nov 06
0
causality test
Dear list
exist a function or package in R for Granger or Johanson causality
test
thanks in advance
Rafael Gutierrez
Estad?stico
Unidad de Tecnolog?a Cerro Matoso S.A.
Ext. 3350
"Este correo y sus anexos pueden ser confidenciales y estar protegidos
por derechos de autor. Est?n dirigidos ?nica y exclusivamente para uso
de el (los) destinatario(s). Si Usted por error lo ha recibido por
2013 Apr 30
0
Panel Granger Causality Tests
Hi,
I was wondering if there is a package/function for Panel Granger
non-causality tests? I am interested in Toda-Yamamoto procedure in panel
data setting.
Thank you,
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2013 May 04
0
Panel Granger Non-Causality Tests in R
Hi,
I was wondering if there is a package/function for Panel Granger
non-causality tests? I am interested in Toda-Yamamoto like procedure for
panel models.
Thank you,
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2003 Nov 15
5
correlation and causality examples
Dear All,
I'am looking for examples showing that correlation does not imply
causality, the targeted audience consists of undergraduate students
(their first year at the university but in the BioMathStat track).
All practicals are under R.
I was able to extract this from R datasets:
### begin
data(sunspots)
data(lynx)
spots <- window(sunspots, freq = 1, start = 1880, end = 1900)
lnx <-
2006 May 19
6
bayesian belief networks to determine causality
Hello, does R estimate belief networks to estimate chains of causality.
Anyone point me to the right direction, or the most developed library?
looking at DEAL>
2008 Jul 02
2
Optimal lag selection in Granger Causality tests
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
2012 Jul 14
1
Quantile Regression - Testing for Non-causalities in quantiles
Dear all,
I am searching for a way to compute a test comparable to Chuang et al.
("Causality in Quantiles and Dynamic Stock
Return-Volume Relations"). The aim of this test is to check wheter the
coefficient of a quantile regression granger-causes Y in a quantile range. I
have nearly computed everything but I am searching for an estimator of the
density of the distribution at several
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 Systems: Analytic Results and
2007 Mar 28
1
.duplicate question
I am using the vars package and it calls a function causality() which
then calls something
called .duplicate. I had to modify the causality function slightly for
my purposes and
I called it my.causality() but now the .duplicate function is no longer
known to the my.causality function.
I'm fairly certain that this is due to my lack of expertise in R but if
someone could tell me how
to make the
2013 Apr 22
3
Scatterplot and Causality
Dear All,
I hope this is not too off topic.
I am given a set of scatteplots (nothing too fancy; think about a
normal x-y 2D plot).
I do not deal with two time series (indeed I have no info about time).
If I call A=(A1,A2,...) and B=(B1, B2, ...) the 2 variables (two
vectors of numbers most of the case, but sometimes they can be
categorical variables), I can plot one against the other and I
2009 Jun 12
2
Comparing model fits for NLME when models are not nested
Hi there,
I am looking to compare nonlinear mixed effects models that have different nonlinear functions (different types of growth curve)embedded. Most of the literature I can find focuses on comparing nested models with likelihood ratios and AIC. Is there a way to compare model fits when models are not nested, i.e. when the nonlinear functions are not the same?
Many thanks in advance!
Lindsay
2008 Dec 03
2
Spectral Analysis of Time Series in R
Dear R Community,
I am currently student at the Vienna University of Technology writing my
Diploma thesis on causality in time series and doing some analyses of
time series in R. I have the following questions:
(1) Is there a function in R to estimate the PARTIAL spectral coherence
of a multivariate time series? If yes, how does this work? Is there an
test in R if the partial spectral
2013 Apr 20
1
Convergent Cross Mapping
Dear All,
I am looking for an R implementation of the convergent cross mapping
method (see http://bit.ly/XN8OZX and
http://www.uvm.edu/~cdanfort/csc-reading-group/sugihara-causality-science-2012.pdf
)
The method is presented as an improvement over Granger causality (
http://bit.ly/XN8ydi ), but its implementation (involving shadows of
multidimensional manifolds) must be quite some work...
2008 Jul 04
1
Test for multiple comparisons: Nonlinear model, autocorrelation?
Dear R community,
I have a nonlinear model describing average daily soil temperature. What test should I use to compare differences in soil temperature of the two studied vegetation types depending upon month?
Building linear contrasts for the developed nonlinear model does not help since this model does not include variable “Months” (only “Days”).
1) Just a Student’s test is not probably