sparsevar (version 0.0.9)

testGranger: Test for Ganger Causality

Description

This function should retain only the coefficients of the matrices of the VAR that are statistically significative (from the bootstrap)

Usage

testGranger(v, eb)

Arguments

v

the VAR object as from fitVAR or simulateVAR

eb

the error bands as obtained from errorBands