ms_grangertest2 function

Test for Granger Causality

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.

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().

Returns

Anova object

Examples

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

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()