Message-ID: <B89F0CE41D45644A97CCC93DF548C1C31F96128E@GBHENXMB02.corp.amvescap.net>
Date: 2009-11-17T08:24:21Z
From: Pfaff, Bernhard Dr.
Subject: test for causality
In-Reply-To: <26373931.post@talk.nabble.com>
>
>
>Hi useRs..
>
>I cant figure out how to test for causality using causality() in vars
>package
>
>I have two datasets (A, B) and i want to test if A (Granger)cause B.
>How do I write the script? I dont understand ?causality. How
Dear Tobias,
have a look at example(causality). A Granger-causality test is a F-test.
You need to estimate a VAR first, i.e., provide the complete data set
(cbind(A, b)) in VAR() and then provide the causing variable(s) in
causality.
Best,
Bernhard
>do I get x to
>"contain" A and B. Further using the command VAR() to specify x, I dont
>either understand.
>
>Kind regards Tobias
>
>--
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>Sent from the R help mailing list archive at Nabble.com.
>
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>and provide commented, minimal, self-contained, reproducible code.
>
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