Re: [R] grangertest/lmtest ... what am I doing wrong ?

From: Gabor Grothendieck <ggrothendieck_at_gmail.com>
Date: Sun, 17 Aug 2008 09:14:58 -0400

There is something wrong with the description below since MSBVAR has granger.test, not grangertest, and it takes 2 args, not 3. This refers to 0.3-1 of MSBVAR. On Sun, Aug 17, 2008 at 9:07 AM, <tolga.i.uzuner_at_jpmorgan.com> wrote:
> Dear Achim, R Users,
>
> What am I doing wrong in this example ?
>
> 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
>
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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. Received on Sun 17 Aug 2008 - 13:17:55 GMT

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