Dear Chris,
I do not have the references here, but AFAIR:
if x and y are two time series, we say that "x does not Granger-cause y"
(x ngc y) if the models
(1) y~y(-1)+y(-2)+...+x(-1)+x(-2)+...
and
(2) y~y(-1)+y(-2)+...
are "equivalent", i.e. if past values of x "do not help explaining" y.
The Granger test is thus the exclusion test for the lagged x in (1) (see
?grangertest).
The Sims test, which is equivalent to the Granger test under certain
circumstances, substitutes (1) with
(3) y~x(-1)+x(-2)+...+x(+1)+x(+2)+...
We could well consider including this in lmtest one day: I'll speak to
the maintainer. For now, as the current grangertest.default() method is
based on waldtest() and lag(), which last works symmetrically, a quick
hack is straightforward. I am including it for your convenience, but
without any guarantee (my quick hacks don't usually work properly in the
first place).
I suggest you check the results by building up the two test models "by
hand" and comparing them through waldtest{lmtest}.
HTH
Giovanni
** Original message **
Message: 8
Date: Mon, 9 Apr 2007 08:25:23 -0400
From: "Chris Elsaesser" <[EMAIL PROTECTED]>
Subject: [R] Modified Sims test
To: <[email protected]>
Message-ID:
<[EMAIL PROTECTED]>
Content-Type: text/plain; charset="us-ascii"
Does anyone know of a package that includes the Modified Sims test
[Gewerke, 1983, 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:
Gewerke, J., R. Meese, and W. Dent (1983), "Comparing Alternative Tests
of Causality in Temporal Systems: Analytic Results and Experimental
Evidence." Journal of Econometrics, 83, 161-194.
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
------------------------------
Giovanni Millo
Research Dept.,
Assicurazioni Generali SpA
Via Machiavelli 4,
34131 Trieste (Italy)
tel. +39 040 671184
fax +39 040 671160
Ai sensi del D.Lgs. 196/2003 si precisa che le informazioni contenute in questo
messaggio sono riservate ed a uso esclusivo del destinatario. Qualora il
messaggio in parola Le fosse pervenuto per errore, La invitiamo ad eliminarlo
senza copiarlo e a non inoltrarlo a terzi, dandocene gentilmente comunicazione.
Grazie.
Pursuant to Legislative Decree No. 196/2003, you are hereby informed that this
message contains confidential information intended only for the use of the
addressee. If you are not the addressee, and have received this message by
mistake, please delete it and immediately notify us. You may not copy or
disseminate this message to anyone. Thank you.
______________________________________________
[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.
