Grangercaus {tsapp} | R Documentation |
Grangercaus
determines three values of BIC from a twodimensional VAR process
Description
Grangercaus
determines three values of BIC from a twodimensional VAR process
Usage
Grangercaus(x, y, p)
Arguments
x |
first time series |
y |
second time series |
p |
maximal order of VAR process |
Value
out list with components
BIC |
vector of length 3: |
BIC1 | minimum aic value for all possible lag structures |
BIC2 | minimum aic value when Y is not included as regressor in the equation for X |
BIC3 | minimum aic value when X is not included as regressor in the equation for Y |
out1 |
output of function lm for regression equation for x-series |
out2 |
output of function lm for regression equation for y-series |
Examples
data(ICECREAM)
out <- Grangercaus(ICECREAM[,1],ICECREAM[,2],3)
[Package tsapp version 1.0.4 Index]