pgrangertest function

Panel Granger (Non-)Causality Test (Dumitrescu/Hurlin (2012))

Test for Granger (non-)causality in panel data.

pgrangertest(
  formula,
  data,
  test = c("Ztilde", "Zbar", "Wbar"),
  order = 1L,
  index = NULL
)

Arguments

• formula: a formula object to describe the direction of the hypothesized Granger causation,
• data: a pdata.frame or a data.frame,
• test: a character to request the statistic to be returned, either "Ztilde" (default),or "Zbar", alternatively, set to "Wbar" for an intermediate statistic (see Details),
• order: integer(s) giving the number of lags to include in the test's auxiliary regressions, the length of order must be either 1 (same lag order for all individuals) or equal to the number of individuals (to specify a lag order per individual),
• index: only relevant if data is data.frame and not a pdata.frame; if NULL, the first two columns of the data.frame are assumed to be the index variables, for further details see pdata.frame().

Returns

An object of class c("pgrangertest", "htest"). Besides the usual elements of a htest object, it contains the data frame indgranger which carries the Granger test statistics per individual along the associated p-values, degrees of freedom, and the specified lag order.

Details

The panel Granger (non-)causality test is a combination of Granger tests \insertCite GRAN:69plm performed per individual. The test is developed by \insertCite DUMI:HURL:12;textualplm, a shorter exposition is given in \insertCite LOPE:WEBE:17;textualplm.

The formula formula describes the direction of the (panel) Granger causation where y ~ x means "x (panel) Granger causes y".

By setting argument test to either "Ztilde" (default) or "Zbar", two different statistics can be requested. "Ztilde"

gives the standardised statistic recommended by Dumitrescu/Hurlin (2012) for fixed T samples. If set to "Wbar", the intermediate Wbar statistic (average of individual Granger chi-square statistics) is given which is used to derive the other two.

The Zbar statistic is not suitable for unbalanced panels. For the Wbar statistic, no p-value is available.

The implementation uses lmtest::grangertest() from package list("lmtest") to perform the individual Granger tests.

Examples

## not meaningful, just to demonstrate usage
## H0: 'value' does not Granger cause 'inv' for all invididuals

data("Grunfeld", package = "plm")
pgrangertest(inv ~ value, data = Grunfeld)
pgrangertest(inv ~ value, data = Grunfeld, order = 2L)
pgrangertest(inv ~ value, data = Grunfeld, order = 2L, test = "Zbar")

# varying lag order (last individual lag order 3, others lag order 2)
(pgrt <- pgrangertest(inv ~ value, data = Grunfeld, order = c(rep(2L, 9), 3L)))
# chisq statistics per individual
pgrt$indgranger

References

\insertRef DUMI:HURL:12plm

\insertRef GRAN:69plm

\insertRef LOPE:WEBE:17plm

See Also

lmtest::grangertest() for the original (non-panel) Granger causality test in list("lmtest").

Author(s)

Kevin Tappe