Granger causality test (bivariate).

Granger test of predictive causality (between two time series) using the lmtest::grangertest() function.

Usage

granger_test(formula, data, lags = 1:5, test.reverse = TRUE, file = NULL, ...)

Arguments

formula

Model formula like y ~ x.

data

Data frame.

lags

Time lags. Defaults to 1:5.

test.reverse

Whether to test reverse causality. Defaults to TRUE.

file

File name of MS Word (.doc).

...

Further arguments passed to lmtest::grangertest(). For example, you may use robust standard errors by specifying the vcov argument (see GitHub Issue #23).

Value

A data frame of results.

Details

Granger causality test examines whether the lagged values of a predictor have an incremental role in predicting (i.e., help to predict) an outcome when controlling for the lagged values of the outcome.

Granger causality does not necessarily constitute a true causal effect.

See also

ccf_plot, granger_causality

Examples

granger_test(chicken ~ egg, data=lmtest::ChickEgg)
#> 
#> Granger Causality Test (Bivariate)
#> 
#> Hypothesized direction:
#> chicken ~ chicken[1:Lags] + egg[1:Lags]
#> Lags = 1:	F(1, 50) = 1.21, p = 0.277    
#> Lags = 2:	F(2, 47) = 8.82, p = 6e-04 ***
#> Lags = 3:	F(3, 44) = 5.40, p = 0.003 ** 
#> Lags = 4:	F(4, 41) = 4.26, p = 0.006 ** 
#> Lags = 5:	F(5, 38) = 4.73, p = 0.002 ** 
#> 
#> Reverse direction:
#> egg ~ egg[1:Lags] + chicken[1:Lags]
#> Lags = 1:	F(1, 50) = 0.05, p = 0.829    
#> Lags = 2:	F(2, 47) = 0.88, p = 0.422    
#> Lags = 3:	F(3, 44) = 0.59, p = 0.624    
#> Lags = 4:	F(4, 41) = 0.39, p = 0.813    
#> Lags = 5:	F(5, 38) = 0.29, p = 0.913    
#> 
granger_test(chicken ~ egg, data=lmtest::ChickEgg, lags=1:10, file="Granger.doc")
#> 
#> Granger Causality Test (Bivariate)
#> 
#> Hypothesized direction:
#> chicken ~ chicken[1:Lags] + egg[1:Lags]
#> Lags = 1:	F(1, 50) = 1.21, p = 0.277    
#> Lags = 2:	F(2, 47) = 8.82, p = 6e-04 ***
#> Lags = 3:	F(3, 44) = 5.40, p = 0.003 ** 
#> Lags = 4:	F(4, 41) = 4.26, p = 0.006 ** 
#> Lags = 5:	F(5, 38) = 4.73, p = 0.002 ** 
#> Lags = 6:	F(6, 35) = 3.65, p = 0.006 ** 
#> Lags = 7:	F(7, 32) = 4.06, p = 0.003 ** 
#> Lags = 8:	F(8, 29) = 3.15, p = 0.011 *  
#> Lags = 9:	F(9, 26) = 4.37, p = 0.001 ** 
#> Lags = 10:	F(10, 23) = 3.90, p = 0.003 ** 
#> 
#> Reverse direction:
#> egg ~ egg[1:Lags] + chicken[1:Lags]
#> Lags = 1:	F(1, 50) = 0.05, p = 0.829    
#> Lags = 2:	F(2, 47) = 0.88, p = 0.422    
#> Lags = 3:	F(3, 44) = 0.59, p = 0.624    
#> Lags = 4:	F(4, 41) = 0.39, p = 0.813    
#> Lags = 5:	F(5, 38) = 0.29, p = 0.913    
#> Lags = 6:	F(6, 35) = 0.36, p = 0.898    
#> Lags = 7:	F(7, 32) = 0.61, p = 0.747    
#> Lags = 8:	F(8, 29) = 0.61, p = 0.762    
#> Lags = 9:	F(9, 26) = 0.56, p = 0.820    
#> Lags = 10:	F(10, 23) = 0.38, p = 0.944    
#> 
#> ✔ Table saved to "/home/runner/work/bruceR/bruceR/docs/reference/Granger.doc"
#> 
unlink("Granger.doc")  # delete file for code check