pgrangertest

From plm v2.2-5
0th

Percentile

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

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

Keywords
htest
Usage
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",

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().

Details

The panel Granger (non-)causality test is a combination of Granger tests GRAN:69plm performed per individual. The test is developed by DUMI:HURL:12;textualplm, a shorter exposition is given in 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 lmtest to perform the individual Granger tests.

Value

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.

References

DUMI:HURL:12plm

GRAN:69plm

LOPE:WEBE:17plm

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

• pgrangertest
Examples
# NOT RUN {
## 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)
pgrangertest(inv ~ value, data = Grunfeld, order = c(rep(2L, 9), 3L))

# }

Documentation reproduced from package plm, version 2.2-5, License: GPL (>= 2)

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