testGranger

the VAR object as from fitVAR or simulateVAR

the error bands as obtained from errorBands

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

A wrapper for sparse VAR/VECM time series models estimation
using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped
Absolute Deviation) and MCP (Minimax Concave Penalty).
Based on the work of Sumanta Basu and George Michailidis
<doi:10.1214/15-AOS1315>.

Simone Vazzoler

testGranger: Test for Ganger Causality

Description

Usage

Arguments