ms_condgrangertest {movementsync} | R Documentation |
Test for Conditional Granger Causality
Description
Faster implementation of the vector version of lmtest::grangertest()
with
conditioning on the history of a third variable. The function assumes time
series always have the same start date and periodicity, which is true for the data in this
package.
Usage
ms_condgrangertest(x, y, z, order = 1, na.action = stats::na.omit, ...)
Arguments
x |
response vector of observations. |
y |
explanatory vector of observations. |
z |
conditioning vector of observations |
order |
number of lags (in frames). |
na.action |
a function for eliminating NAs after aligning the series x and y. |
... |
passed to |
Value
Anova object
See Also
Other Granger Causality:
autoplot.GrangerTime()
,
get_granger_interactions()
,
granger_test()
,
map_to_granger_test()
,
ms_grangertest1()
,
ms_grangertest2()
,
plot.GrangerInteraction()
,
plot_influence_diagram()
Examples
data(wages, package = "lmtest")
diff_wages <- diff(wages)
# Granger tests
lmtest::grangertest(diff_wages[, 'w'], diff_wages[, 'CPI'], order = 3)
ms_grangertest1(diff_wages[, 'w'], diff_wages[, 'CPI'], order = 3)
ms_grangertest2(diff_wages[, 'w'], diff_wages[, 'CPI'], order = 3)
ms_condgrangertest(diff_wages[, 'w'], diff_wages[, 'CPI'], diff_wages[, 'u'], order = 3)
[Package movementsync version 0.1.4 Index]