bruceR (version 0.6.0)

granger_test: Granger causality test.

Description

Granger test of predictive causality (between two time-series variables) using the lmtest::grangertest function.

Usage

granger_test(formula, data, lags = 1:5, test.reverse = FALSE)

Arguments

formula

Model formula like y ~ x.

data

Data frame.

lags

Time lags. Default is 1:5.

test.reverse

Whether to test reverse causality. Default is FALSE.

Value

No return value.

Details

The Granger causality test can examine whether the lagged values of a predictor have any incremental role in predicting an outcome if controlling for the lagged values of the outcome itself. It compares the two models by using an F test.

See Also

ccf_plot

Examples

# NOT RUN {
granger_test(chicken ~ egg, data=lmtest::ChickEgg)
granger_test(chicken ~ egg, data=lmtest::ChickEgg, lags=1:10, test.reverse=TRUE)

# }