On Sun, 17 Aug 2008, [EMAIL PROTECTED] wrote:
Dear Achim, R Users,
What am I doing wrong in this example ?
The Granger test of x and y with lag k tests the significance of the x
variables in
y ~ Lags(y, 1:k) + Lags(x, 1:k)
If x is already a lag of y (as in your example), this is not really
meaningful. In the "lmtest" implementation, it leads to collinearities.
I'm not sure what MSBVAR does to resolve that.
Z
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 pur...{{dropped:30}}
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