ms_grangertest2 {movementsync}

Test for Granger Causality

Description

Faster implementation of the vector version of lmtest::grangertest(). The function assumes time series always have the same start date and periodicity, which is true for the data in this package.

Usage

ms_grangertest2(x, y, order = 1, na.action = stats::na.omit, ...)

Arguments

x

either a bivariate series (in which case y has to be missing) or a univariate series of observations

y

a univariate series of observations (if x is univariate, too).

order

number of lags (in frames).

na.action

a function for eliminating NAs after aligning the series x and y.

...

passed to lmtest::waldtest().

Value

Anova object

See Also

Other Granger Causality: autoplot.GrangerTime(), get_granger_interactions(), granger_test(), map_to_granger_test(), ms_condgrangertest(), ms_grangertest1(), plot.GrangerInteraction(), plot_influence_diagram()

Examples

data(ChickEgg, package = "lmtest")
ms_grangertest2(ChickEgg, order = 3)