Re: Causality test

[markleeds]

>From: bereket weldeslassie <berekket@...>
>Date: 2008/04/17 Thu PM 04:02:45 CDT
>To: r-sig-finance@...
>Subject: [R-SIG-Finance] Causality test

I don't know what the Sims Causality test
is but I'm almost positive that Bernhard's VARS package
has the Granger Causality test and maybe they're related ?

>Dear All,
>I am doing Casuality test among several time series variables.
>I am using the granger.test() function in the MSBVAR package. I am also
>trying to do the Sims Causality test (which tests the relationship between
>present values of one variable and the leading values of an other variable).
>Is there a function in R that does the Sims Causality test? I appreciate
>your help.
>Thanks,
>Bereket
>
> [[alternative HTML version deleted]]
>
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[Patrick Brandt]

The granger.test() in MSBVAR is the standard or textbook Granger causality
text.  The Sims variant is not hard to implement:  regress a time series X
on past, present and future values of a time series Y and test whether the
*leads* of Y help predict.  The two tests are logically equivalent, but the
numerical equivalence is hard to establish because of the differences in the
finite difference parameterizations used in Sims (1972) and Granger (1969)
PTB

--
Patrick Brandt
Assistant Professor
Political Science
School of Economic, Political and Policy Sciences
University of Texas at Dallas
Personal site: http://www.utdallas.edu/~pbrandt
MSBVAR site: http://yule.utdallas.edu


On Thu, Apr 17, 2008 at 4:10 PM, <markleeds@...> wrote:

> >From: bereket weldeslassie <berekket@...>
> >Date: 2008/04/17 Thu PM 04:02:45 CDT
> >To: r-sig-finance@...
> >Subject: [R-SIG-Finance] Causality test
>
> I don't know what the Sims Causality test
> is but I'm almost positive that Bernhard's VARS package
> has the Granger Causality test and maybe they're related ?
>
>
>
> >Dear All,
> >I am doing Casuality test among several time series variables.
> >I am using the granger.test() function in the MSBVAR package. I am also
> >trying to do the Sims Causality test (which tests the relationship
> between
> >present values of one variable and the leading values of an other
> variable).
> >Is there a function in R that does the Sims Causality test? I appreciate
> >your help.
> >Thanks,
> >Bereket
> >
> >       [[alternative HTML version deleted]]
> >
> >_______________________________________________
> >R-SIG-Finance@... mailing list
> >https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> >-- Subscriber-posting only.
> >-- If you want to post, subscribe first.
>
> _______________________________________________
> R-SIG-Finance@... mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>

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