[R] Converting the results of granger.test into a matrix

From: <tolga.i.uzuner_at_jpmorgan.com>
Date: Sat, 28 Jun 2008 18:48:54 +0100


Dear R Users,

The granger.test command in the MSBVAR package estimates all possible bivariate Granger causality tests for m variables. If one passes a data frame with 3 rows, it returns 6 granger tests in two rows, one for the F-statistic and another for the p-value.

For example:

> a<-rnorm(1:10)
> b<-c(lag(a),rnorm(1))
> c<-c(lag(b),rnorm(1))
> gt<-granger.test(cbind(a,b,c),p=3)
> gt

       F-statistic p-value

b -> a 0.004514574 0.9994483
c -> a 0.004514574 0.9994483
a -> b 0.032037576 0.9901814
c -> b 0.000000000 1.0000000
a -> c 0.005241195 0.9993111
b -> c 0.000000000 1.0000000

>

I would like to be able to convert the data in the p-value column above into a 3x3 matrix, displaying these results as follows:

        a       b       c
a       x       a->b    a->c
b       b->a    x       b->c
c       c->a    c->b    x

Is there an existing utility which can do this for me ?

Many thanks in advance,
Tolga

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