Does anyone know of a package that includes the Modified Sims test [Sims, 1972]?
This test is used in econometrics and is a kind of alternative to the Granger test [Granger, 1969], which is in the package lmtest. Thanks in advance, chris Refernces: Granger, C.W.J. (1969), "Investigating Causal Relations by Econometric Methods and Cross-Spectral Methods," Econometrica, 34, 424-438. Sims, C. (1972), "Money, Income and Causality," American Economic Review, 62, 540-552. Chris Elsaesser, PhD 703.637.9421 (o) Principal Geospatial Scientist 703.371.7301 (m) SPADAC Inc. 7921 Jones Branch Dr. Suite 600 McLean, VA 22102 ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
