Timeline for Does the Granger Causality test in the "vars" package make sense?
Current License: CC BY-SA 3.0
13 events
| when toggle format | what | by | license | comment | |
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| Jan 21, 2022 at 11:37 | answer | added | Nikosant | timeline score: 2 | |
| Apr 7, 2021 at 9:33 | answer | added | Long Vo | timeline score: 3 | |
| Mar 18, 2019 at 6:37 | answer | added | user241514 | timeline score: 1 | |
| Jan 26, 2016 at 22:24 | vote | accept | Sympa | ||
| Jan 26, 2016 at 21:25 | answer | added | Regis A. Ely | timeline score: 4 | |
| Dec 22, 2015 at 18:11 | comment | added | Sympa | Someone else already edited my question. I am not too sure how to edit it further. Given the issue, it is reasonably well described. The issue in a nutshell is very simple. We all understand how Variable A Granger-causes Variable B (I have described the mechanics of Granger Causality testing above). But, what does Variable A Granger-causes Variables B, C, and D at the same time mean? I argue that there is a bug in this causality() function. And, it is missing an argument. You should be able to select the variable that is affected. | |
| Dec 22, 2015 at 18:06 | history | edited | Sympa | CC BY-SA 3.0 |
added 2 characters in body
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| Dec 22, 2015 at 8:51 | comment | added | Christoph Hanck | Please edit your original question - this is fairly hard to read. Also, this is not reproducible, just the output. | |
| Dec 21, 2015 at 19:45 | comment | added | Sympa | The most important section of the R output above is: "Granger causality HO: pi do not Granger-cause h6dda ten. pi stands for Personal Income, h6dda is Deposit (time series DDA with H6 money aggregates) and ten stands for 10 Year Treasury. In other words, this Granger-causality test tests whether Personal income (the cause in the coding of the R function) Granger-cause Deposit growth and also 10 Year Treasury movements... which does not make much sense to me. | |
| Dec 21, 2015 at 19:39 | comment | added | Sympa | Christoph, I am attempting to copy the output I have copied from R onto an Excel spreadsheet. I don't know if I'll have much success with that. Granger-causality testing Personal Income granger causing H6DDA growth. > causality(var3, cause = "pi", vcov. = NULL, boot = FALSE, boot.runs=100) $Granger Granger causality H0: pi do not Granger-cause h6dda ten data: VAR object var3 F-Test = 5.7548, df1 = 4, df2 = 606, p-value = 0.0001501 | |
| Dec 21, 2015 at 10:16 | history | edited | Richard Hardy | CC BY-SA 3.0 |
added 27 characters in body; edited title
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| Dec 21, 2015 at 4:46 | comment | added | Christoph Hanck | Can you post a reproducible example? My guess would be it means "A causes at least one of B, C, D." | |
| Dec 21, 2015 at 4:33 | history | asked | Sympa | CC BY-SA 3.0 |