ms_grangertest1 function

Test for Granger Causality

Faster implementation of the vector version of lmtest::grangertest()

which uses a vectorised lag operation.

ms_grangertest1(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().

Returns

Anova object

Examples

data(ChickEgg, package = "lmtest")
ms_grangertest1(ChickEgg, order = 3)

See Also

Other Granger Causality: autoplot.GrangerTime(), get_granger_interactions(), granger_test(), map_to_granger_test(), ms_condgrangertest(), ms_grangertest2(), plot.GrangerInteraction(), plot_influence_diagram()