Hi Gabor, Perhaps, I should have been clearer.
In the subject like, I put "grangertest/lmtest" to indicate the grangertest function in the lmtest package. Later in the example, I am specifically talking about granger.test in the MSBVAR package (which is not failing, as in the example at the very bottom) to which you are referring, as a comparison to grangertest in the lmtest package (which is failing, in the example at the top). In the example at the very bottom of the email, I invoke granger.test from the MSBVAR package with two arguments, as you rightly put. grangertest in the lmtest package is invoked with three arguments. This is the function which is failing. Hope this clarifies my question. Tolga "Gabor Grothendieck" <[EMAIL PROTECTED]> 17/08/2008 14:14 To [EMAIL PROTECTED] cc "Achim Zeileis" <[EMAIL PROTECTED]>, R-HELP@r-project.org Subject Re: [R] grangertest/lmtest ... what am I doing wrong ? There is something wrong with the description below since MSBVAR has granger.test, not grangertest, and it takes 2 args, not 3. This refers to 0.3-1 of MSBVAR. On Sun, Aug 17, 2008 at 9:07 AM, <[EMAIL PROTECTED]> wrote: > Dear Achim, R Users, > > What am I doing wrong in this example ? > > a<-zoo(rnorm(100),order.by=1:100) > b<-lag(a) > regr<-na.exclude(merge(a,b)) > plot(regr) > grangertest(regr[,1],regr[,2],3) > >> a<-zoo(rnorm(100),order.by=1:100) >> b<-lag(a) >> regr<-na.exclude(merge(a,b)) >> plot(regr) >> grangertest(regr[,1],regr[,2],3) > Error in solve(vc[ovar, ovar]) : subscript out of bounds >> > > This works fine in granger.test from the MSBVAR package: > >> a<-zoo(rnorm(100),order.by=1:100) >> b<-lag(a) >> regr<-na.exclude(merge(a,b)) >> plot(regr) >> granger.test(regr,3) > F-statistic p-value > b -> a 1.259314e+34 0.0000000 > a -> b 6.167865e-01 0.6059222 >> > > Thanks in advance, > Tolga > > Generally, this communication is for informational purposes only > and it is not intended as an offer or solicitation for the purchase > or sale of any financial instrument or as an official confirmation > of any transaction. 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