Grangercaus function

Grangercaus determines three values of BIC from a twodimensional VAR process

Grangercaus(x, y, p)

Arguments

• x: first time series
• y: second time series
• p: maximal order of VAR process

Returns

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)