Granger causality

[S.yahya Abtahi]

hi
how can i do perform Granger causality in TVAR code?
best regards.
s.yahya

[Matthieu S]

Hi

There is no Granger test implemented straight out of the box, but as it is usually testes using the Wald test you can do it rather easily. Extracting the var-cov matrix is with vcov(), and to get the coefs in a vector, use function below.

Let me know how that goes for you!?

library(tsDyn)
data(zeroyld)
tv <- TVAR(zeroyld, lag=1, nthresh=1, thDelay=1, trim=0.1, mTh=1, plot=TRUE)

coefVec <- function(x){
  coef_M <- x$coeffmat
  coef_c <- matrix(t(coef_M), ncol=1, byrow = FALSE)
  rownames(coef_c) <- paste(colnames(coef_M), rep(rownames(coef_M), each=ncol(coef_M)))
  coef_c
}

## wald test for all zero:

t(coefVec(x=tv))%*% vcov(tv) %*% coefVec(x=tv)

Matthieu

--
You received this message because you are subscribed to the Google Groups "tsdyn" group.
To unsubscribe from this group and stop receiving emails from it, send an email to tsdyn+unsubscribe@googlegroups.com.
To post to this group, send email to ts...@googlegroups.com.
Visit this group at https://groups.google.com/group/tsdyn.
For more options, visit https://groups.google.com/d/optout.