[R] ISO Sims test

From: Chris Elsaesser <chris.elsaesser_at_spadac.com>
Date: Thu 05 Apr 2007 - 13:40:44 GMT


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



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