First of all, I was not aware of the RSiteSearch function. Cool. Thanks
for that.
That having been said, I could not find anything here that helps with
optimal lag selection.
I can see:
- grangertest,
- granger.test and
- the causality functions which actually implement the tests, but nothing
which helps with
To be fair, I had already found these, and am currently using granger.test
(tho causality looks interest too, which I hadn't seen before...).
I did try things like:
RSiteSearch("Granger Causality optimal leg")
RSiteSearch("Causality optimal leg")
RSiteSearch("optimal leg")
and variants but nothing.
Anyway, if anyone has any pointers, would be most appreciated.
Still, that is a cool function, thanks for pointing it out Thierry.
Tolga
"ONKELINX, Thierry" <[EMAIL PROTECTED]>
02/07/2008 09:53
To
<[EMAIL PROTECTED]>, <r-help@r-project.org>
cc
Subject
RE: [R] Optimal lag selection in Granger Causality tests
RSiteSearch("Granger Causality", restrict = "functions") yields two
hits.
------------------------------------------------------------------------
----
ir. Thierry Onkelinx
Instituut voor natuur- en bosonderzoek / Research Institute for Nature
and Forest
Cel biometrie, methodologie en kwaliteitszorg / Section biometrics,
methodology and quality assurance
Gaverstraat 4
9500 Geraardsbergen
Belgium
tel. + 32 54/436 185
[EMAIL PROTECTED]
www.inbo.be
To call in the statistician after the experiment is done may be no more
than asking him to perform a post-mortem examination: he may be able to
say what the experiment died of.
~ Sir Ronald Aylmer Fisher
The plural of anecdote is not data.
~ Roger Brinner
The combination of some data and an aching desire for an answer does not
ensure that a reasonable answer can be extracted from a given body of
data.
~ John Tukey
-----Oorspronkelijk bericht-----
Van: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED]
Namens [EMAIL PROTECTED]
Verzonden: woensdag 2 juli 2008 10:41
Aan: r-help@r-project.org
Onderwerp: [R] Optimal lag selection in Granger Causality tests
Dear R Users,
Can someone point me to a R package which will help me optimally choose
a
lag for Granger Causality testing ?
Many thanks in advance,
Tolga
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