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grangers (version 0.1.0)

Inference on Granger-Causality in the Frequency Domain

Description

Contains five functions performing the calculation of unconditional and conditional Granger-causality spectra, bootstrap inference on both, and inference on the difference between them via the bootstrap approach of Farne' and Montanari, 2018 .

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Install

install.packages('grangers')

Monthly Downloads

186

Version

0.1.0

License

GPL (>= 2)

Issues

1

Pull Requests

0

Stars

6

Forks

1

Maintainer

Matteo Farne'

Last Published

June 3rd, 2019

Functions in grangers (0.1.0)

euro_area_indicators

Six Euro Area Monetary Indicators
Granger.conditional

Conditional Granger-causality estimation
Granger.inference.conditional

Inference on conditional Granger-causality
Granger.unconditional

Unconditional Granger-causality estimation
bc_test_cond

Conditional Granger-causality test of Breitung and Candelon (2006)
Granger.inference.unconditional

Inference on unconditional Granger-causality
Granger.inference.difference

Inference on the difference between unconditional and conditional Granger-causality
bc_test_uncond

Unconditional Granger-causality test of Breitung and Candelon (2006)