F-test of the x-lag block in an AR model for y. Mirrors
morie.fn.ggrcst.
Usage
morie_granger_test(x, y, p = 1L)
Arguments
- x
Candidate cause series.
- y
Response series.
- p
Lag order.
Value
List with statistic, p_value, df, n.
References
Granger CWJ (1969). Econometrica 37(3), 424-438.
Examples
# x drives y one step later; a term no lag explains keeps the fit inexact
x <- sin(1:60)
y <- c(0, 0.8 * x[-60]) + 0.3 * cos(3 * (1:60))
morie_granger_test(x, y)
#> $statistic
#> [1] 468.7189
#>
#> $p_value
#> [1] 6.931716e-29
#>
#> $df
#> [1] 1 56
#>
#> $n
#> [1] 60
#>
