ms_condgrangertest function

Test for Conditional Granger Causality

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.

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 lmtest::waldtest().

Returns

Anova object

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)

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()