Displaying 20 results from an estimated 1100 matches similar to: "Quantile Regression - Testing for Non-causalities in quantiles"
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%
2012 Jul 28
4
quantreg Wald-Test
Dear all,
I know that my question is somewhat special but I tried several times to
solve the problems on my own but I am unfortunately not able to compute the
following test statistic using the quantreg package. Well, here we go, I
appreciate every little comment or help as I really do not know how to tell
R what I want it to do^^
My situation is as follows: I have a data set containing a
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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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 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
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
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
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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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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2012 May 28
2
R quantreg anova: How to change summary se-type
He folks=)
I want to check whether a coefficient has an impact on a quantile regression
(by applying the sup-wald test for a given quantile range [0.05,0.95].
Therefore I am doing the following calculations:
a=0;
for (i in 5:95/100){
fitrestricted=rq(Y~X1+X2,tau=i)
tifunrestrited=rq(Y~X1+X2+X3,tau=i)
a[i]=anova(fitrestricted,fitunrestricted)$table$Tn) #gives the Test-Value
}
supW=max(a)
As anova
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
2012 May 24
1
plot(summary) quantreg - Not all outputs needed
Hi Folks,
I am currently trying to present some results I obtained by using the
quantreg package developed by Roger Koenker. After calculating
fit<-summary(rq(Y~X1+X2, tau=2:98/100) ) the function plot(fit) presents a
really nice the results by showing the values for all "regressors" in the
given interval tau. But in my case, I only need the output of a single
variable, say X1 and I
2010 Sep 21
1
Colorramp in Maptools, how to choose min and max values for the fg= argument
Hello,
I am using maptools for plooting geographical data.
The colour of the region indicates some region dependent value
(population for example).
I pass the colours of the regions to the plot.Map function by defining
the foreground colour:
jet.colors = colorRampPalette(c("#00007F", "blue", "#007FFF", "cyan",
"#7FFF7F", "yellow",
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
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 Jun 28
1
Converting the results of granger.test into a matrix
Dear R Users,
The granger.test command in the MSBVAR package estimates all possible
bivariate Granger causality tests for m variables. If one passes a data
frame with 3 rows, it returns 6 granger tests in two rows, one for the
F-statistic and another for the p-value.
For example:
> a<-rnorm(1:10)
> b<-c(lag(a),rnorm(1))
> c<-c(lag(b),rnorm(1))
>
2015 Oct 23
1
Question about dovecot replication
Hi,
last week I installed 2 servers with two dovecot nodes and replication in active/active mode located in different datacenters.
Based on the howto from wiki "http://wiki2.dovecot.org/Replication" it works great.
According to the wiki it is recomended to run "doveadm purge" on both systems continously, because "doveadm purge" will not be replicated by the
2010 Nov 19
0
test for causality
Hi users
ı cant find and also do nonlinear garnger causality R codes, Is anyone send
me an example??? thanks lots of
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