Many thanks Achim, much appreciated. A simple, naive implementation of granger testing (see the R code below) which does not explicitly accont for collinearities appears to give the same results as the implementation in MSBVAR, so presumably, they do something similar.
> granger <-function(d, L, k = 1) > { > #d is a bivariate time-series: regress d[,k] on L lags of d[,1] and > #d[,2]. This is a modified version for R, in which the command > #ts.matrix was > substituted by ts.intersect. > names.d <- dimnames(d)[[2]] > D <- d > for(i in 1:L) > { > D <-ts.intersect(D, lag(d, - i)) > } > dimnames(D)[[2]] <- paste(rep(names.d, L + 1), "_", rep(0:L, times = > rep(2, L+ 1)), sep = "") > y <- D[, k] > n <- length(y) > x1 <- D[, - (1:2)] > x0 <- x1[, ((1:L) * 2) - (k %% 2)] > z1 <- lm(y ~ x1) > z0 <- lm(y ~ x0) > S1 <- sum(z1$resid^2) > S0 <- sum(z0$resid^2) > ftest <- ((S0 - S1)/L)/(S1/(n - 2 * L - 1)) > list(ftest = ftest, p.val = 1 - pf(ftest, L, n - 2 * L - 1), R2 = > summary(z1)$r.squared) > } > > gr<-function(d,L) > # this loops grangers' p.val for L days, > { > m<-matrix(nrow=L) > for(i in 1:L) > { > m[i]<-granger(d,i)$p.val-granger(array(c(d[,2],d[,1]),dim(d)), > i)$p.val > } > m > } Achim Zeileis <[EMAIL PROTECTED]> 17/08/2008 23:33 To [EMAIL PROTECTED] cc R-help@R-project.org Subject Re: grangertest/lmtest ... what am I doing wrong ? On Sun, 17 Aug 2008, [EMAIL PROTECTED] wrote: > Dear Achim, R Users, > > What am I doing wrong in this example ? The Granger test of x and y with lag k tests the significance of the x variables in y ~ Lags(y, 1:k) + Lags(x, 1:k) If x is already a lag of y (as in your example), this is not really meaningful. In the "lmtest" implementation, it leads to collinearities. I'm not sure what MSBVAR does to resolve that. Z > a<-zoo(rnorm(100),order.by=1:100) > b<-lag(a) > regr<-na.exclude(merge(a,b)) > plot(regr) > grangertest(regr[,1],regr[,2],3) > >> a<-zoo(rnorm(100),order.by=1:100) >> b<-lag(a) >> regr<-na.exclude(merge(a,b)) >> plot(regr) >> grangertest(regr[,1],regr[,2],3) > Error in solve(vc[ovar, ovar]) : subscript out of bounds >> > > This works fine in granger.test from the MSBVAR package: > >> a<-zoo(rnorm(100),order.by=1:100) >> b<-lag(a) >> regr<-na.exclude(merge(a,b)) >> plot(regr) >> granger.test(regr,3) > F-statistic p-value > b -> a 1.259314e+34 0.0000000 > a -> b 6.167865e-01 0.6059222 >> > > Thanks in advance, > Tolga > > Generally, this communication is for informational purposes only > and it is not intended as an offer or solicitation for the purchase > or sale of any financial instrument or as an official confirmation > of any transaction. 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