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Rolling Granger Causality Test
How to get df2 in causality() Granger test in RHow to find parameters for Granger causality(VAR)?Granger causality test using VECM in RRolling Granger CausalityGranger causality ordering variableFunction to find starting month of a quarter (custom) in RPlot multiple time series in different panels using RHow to find rolling sd over several months with daily data in RToda-Yamamoto Granger Causality Test in PythonHow to import the MVGC Multivariate Granger Causality Matlab® Toolbox and use it?
.everyoneloves__top-leaderboard:empty,.everyoneloves__mid-leaderboard:empty,.everyoneloves__bot-mid-leaderboard:empty height:90px;width:728px;box-sizing:border-box;
I'm trying to use the rollapply function from the zoo package to estimate Granger causality with a rolling window, the grangertest function is from the package lmtest, I have monthly data span over the period 1976-1984.
y y1
Jan 1970 7.468513 7.672292
Feb 1970 7.475906 7.468513
Mar 1970 7.448334 7.475906
Apr 1970 7.351158 7.448334
May 1970 7.362011 7.351158
Jun 1970 7.326466 7.362011
I used the below-described codes but none of them seems to work
rol.c <- rollapply(mydata, width = 24,
FUN = function(z) coef(grangertest(mydata, order = 6)),
by.column = FALSE, align = "right")
rol.cs <- function(x) c(granger.test(x, p = 6))
rollapplyr(mydata, 24, granger.test, by.column = FALSE )
Any help is deeply appreciated.
r rolling-computation causality
asked Mar 24 at 15:35
AmeerAmeer
245
add a comment |
I'm trying to use the rollapply function from the zoo package to estimate Granger causality with a rolling window, the grangertest function is from the package lmtest, I have monthly data span over the period 1976-1984.
y y1
Jan 1970 7.468513 7.672292
Feb 1970 7.475906 7.468513
Mar 1970 7.448334 7.475906
Apr 1970 7.351158 7.448334
May 1970 7.362011 7.351158
Jun 1970 7.326466 7.362011
I used the below-described codes but none of them seems to work
rol.c <- rollapply(mydata, width = 24,
FUN = function(z) coef(grangertest(mydata, order = 6)),
by.column = FALSE, align = "right")
rol.cs <- function(x) c(granger.test(x, p = 6))
rollapplyr(mydata, 24, granger.test, by.column = FALSE )
Any help is deeply appreciated.
r rolling-computation causality
asked Mar 24 at 15:35
AmeerAmeer
245
add a comment |
I'm trying to use the rollapply function from the zoo package to estimate Granger causality with a rolling window, the grangertest function is from the package lmtest, I have monthly data span over the period 1976-1984.
y y1
Jan 1970 7.468513 7.672292
Feb 1970 7.475906 7.468513
Mar 1970 7.448334 7.475906
Apr 1970 7.351158 7.448334
May 1970 7.362011 7.351158
Jun 1970 7.326466 7.362011
I used the below-described codes but none of them seems to work
rol.c <- rollapply(mydata, width = 24,
FUN = function(z) coef(grangertest(mydata, order = 6)),
by.column = FALSE, align = "right")
rol.cs <- function(x) c(granger.test(x, p = 6))
rollapplyr(mydata, 24, granger.test, by.column = FALSE )
Any help is deeply appreciated.
r rolling-computation causality
asked Mar 24 at 15:35
AmeerAmeer
245
I'm trying to use the rollapply function from the zoo package to estimate Granger causality with a rolling window, the grangertest function is from the package lmtest, I have monthly data span over the period 1976-1984.
y y1
Jan 1970 7.468513 7.672292
Feb 1970 7.475906 7.468513
Mar 1970 7.448334 7.475906
Apr 1970 7.351158 7.448334
May 1970 7.362011 7.351158
Jun 1970 7.326466 7.362011
I used the below-described codes but none of them seems to work
rol.c <- rollapply(mydata, width = 24,
FUN = function(z) coef(grangertest(mydata, order = 6)),
by.column = FALSE, align = "right")
rol.cs <- function(x) c(granger.test(x, p = 6))
rollapplyr(mydata, 24, granger.test, by.column = FALSE )
Any help is deeply appreciated.
r rolling-computation causality
r rolling-computation causality
asked Mar 24 at 15:35
AmeerAmeer
245
asked Mar 24 at 15:35
AmeerAmeer
245
edited Mar 24 at 18:27
Ameer
asked Mar 24 at 15:35
AmeerAmeer
245
asked Mar 24 at 15:35
AmeerAmeer
245
asked Mar 24 at 15:35
AmeerAmeer
245
245
add a comment |
add a comment |
1 Answer
1
active
oldest
votes
The function used in rollapply must return a vector or matrix.
rollapplyr(z, 24, function(x) as.matrix(grangertest(x)), by.column = FALSE)
answered Mar 24 at 22:11
G. GrothendieckG. Grothendieck
158k11138250
when I refer to the data in the code, by default it takes the first variable as dependent and the second variable as independent, but what if want to specify the causal relationship from y1 to yy~y1and vice-versay1~y, how can I adjust the code for this purpose?
– Ameer
Mar 25 at 9:59
1
Can usez[, c("abc", "xyz")]to use the indicated columns orfunction(x) as.matrix(grangertest(x[, "abc"], x[, "xyz"]))
– G. Grothendieck
Mar 25 at 13:09
I tried to use the same function withrcorr' fromHmisc` package like this:rollapplyr(z, 24, function(x) rcorr(x, type=c("spearman")), by.column = FALSE)and returned the following linesDec 1996 Numeric,4 Integer,4 Numeric,4, all the other lines appear like this, could you help me to fix this problem?
– Ameer
Mar 29 at 15:01
You must wrap rcorr within a function that converts the output of rcorr to to a vector or matrix and use that function in rollapply.
– G. Grothendieck
Mar 29 at 18:47
add a comment |
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1 Answer
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1 Answer
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The function used in rollapply must return a vector or matrix.
rollapplyr(z, 24, function(x) as.matrix(grangertest(x)), by.column = FALSE)
answered Mar 24 at 22:11
G. GrothendieckG. Grothendieck
158k11138250
when I refer to the data in the code, by default it takes the first variable as dependent and the second variable as independent, but what if want to specify the causal relationship from y1 to yy~y1and vice-versay1~y, how can I adjust the code for this purpose?
– Ameer
Mar 25 at 9:59
1
Can usez[, c("abc", "xyz")]to use the indicated columns orfunction(x) as.matrix(grangertest(x[, "abc"], x[, "xyz"]))
– G. Grothendieck
Mar 25 at 13:09
I tried to use the same function withrcorr' fromHmisc` package like this:rollapplyr(z, 24, function(x) rcorr(x, type=c("spearman")), by.column = FALSE)and returned the following linesDec 1996 Numeric,4 Integer,4 Numeric,4, all the other lines appear like this, could you help me to fix this problem?
– Ameer
Mar 29 at 15:01
You must wrap rcorr within a function that converts the output of rcorr to to a vector or matrix and use that function in rollapply.
– G. Grothendieck
Mar 29 at 18:47
add a comment |
The function used in rollapply must return a vector or matrix.
rollapplyr(z, 24, function(x) as.matrix(grangertest(x)), by.column = FALSE)
answered Mar 24 at 22:11
G. GrothendieckG. Grothendieck
158k11138250
when I refer to the data in the code, by default it takes the first variable as dependent and the second variable as independent, but what if want to specify the causal relationship from y1 to yy~y1and vice-versay1~y, how can I adjust the code for this purpose?
– Ameer
Mar 25 at 9:59
1
Can usez[, c("abc", "xyz")]to use the indicated columns orfunction(x) as.matrix(grangertest(x[, "abc"], x[, "xyz"]))
– G. Grothendieck
Mar 25 at 13:09
I tried to use the same function withrcorr' fromHmisc` package like this:rollapplyr(z, 24, function(x) rcorr(x, type=c("spearman")), by.column = FALSE)and returned the following linesDec 1996 Numeric,4 Integer,4 Numeric,4, all the other lines appear like this, could you help me to fix this problem?
– Ameer
Mar 29 at 15:01
You must wrap rcorr within a function that converts the output of rcorr to to a vector or matrix and use that function in rollapply.
– G. Grothendieck
Mar 29 at 18:47
add a comment |
The function used in rollapply must return a vector or matrix.
rollapplyr(z, 24, function(x) as.matrix(grangertest(x)), by.column = FALSE)
answered Mar 24 at 22:11
G. GrothendieckG. Grothendieck
158k11138250
The function used in rollapply must return a vector or matrix.
rollapplyr(z, 24, function(x) as.matrix(grangertest(x)), by.column = FALSE)
answered Mar 24 at 22:11
G. GrothendieckG. Grothendieck
158k11138250
answered Mar 24 at 22:11
G. GrothendieckG. Grothendieck
158k11138250
answered Mar 24 at 22:11
G. GrothendieckG. Grothendieck
158k11138250
answered Mar 24 at 22:11
G. GrothendieckG. Grothendieck
158k11138250
158k11138250
when I refer to the data in the code, by default it takes the first variable as dependent and the second variable as independent, but what if want to specify the causal relationship from y1 to yy~y1and vice-versay1~y, how can I adjust the code for this purpose?
– Ameer
Mar 25 at 9:59
1
Can usez[, c("abc", "xyz")]to use the indicated columns orfunction(x) as.matrix(grangertest(x[, "abc"], x[, "xyz"]))
– G. Grothendieck
Mar 25 at 13:09
I tried to use the same function withrcorr' fromHmisc` package like this:rollapplyr(z, 24, function(x) rcorr(x, type=c("spearman")), by.column = FALSE)and returned the following linesDec 1996 Numeric,4 Integer,4 Numeric,4, all the other lines appear like this, could you help me to fix this problem?
– Ameer
Mar 29 at 15:01
You must wrap rcorr within a function that converts the output of rcorr to to a vector or matrix and use that function in rollapply.
– G. Grothendieck
Mar 29 at 18:47
add a comment |
when I refer to the data in the code, by default it takes the first variable as dependent and the second variable as independent, but what if want to specify the causal relationship from y1 to yy~y1and vice-versay1~y, how can I adjust the code for this purpose?
– Ameer
Mar 25 at 9:59
1
Can usez[, c("abc", "xyz")]to use the indicated columns orfunction(x) as.matrix(grangertest(x[, "abc"], x[, "xyz"]))
– G. Grothendieck
Mar 25 at 13:09
I tried to use the same function withrcorr' fromHmisc` package like this:rollapplyr(z, 24, function(x) rcorr(x, type=c("spearman")), by.column = FALSE)and returned the following linesDec 1996 Numeric,4 Integer,4 Numeric,4, all the other lines appear like this, could you help me to fix this problem?
– Ameer
Mar 29 at 15:01
You must wrap rcorr within a function that converts the output of rcorr to to a vector or matrix and use that function in rollapply.
– G. Grothendieck
Mar 29 at 18:47
when I refer to the data in the code, by default it takes the first variable as dependent and the second variable as independent, but what if want to specify the causal relationship from y1 to y
y~y1 and vice-versa y1~y, how can I adjust the code for this purpose?– Ameer
Mar 25 at 9:59
when I refer to the data in the code, by default it takes the first variable as dependent and the second variable as independent, but what if want to specify the causal relationship from y1 to y
y~y1 and vice-versa y1~y, how can I adjust the code for this purpose?– Ameer
Mar 25 at 9:59
1
1
Can use
z[, c("abc", "xyz")] to use the indicated columns or function(x) as.matrix(grangertest(x[, "abc"], x[, "xyz"]))– G. Grothendieck
Mar 25 at 13:09
Can use
z[, c("abc", "xyz")] to use the indicated columns or function(x) as.matrix(grangertest(x[, "abc"], x[, "xyz"]))– G. Grothendieck
Mar 25 at 13:09
I tried to use the same function with
rcorr' from Hmisc` package like this: rollapplyr(z, 24, function(x) rcorr(x, type=c("spearman")), by.column = FALSE) and returned the following lines Dec 1996 Numeric,4 Integer,4 Numeric,4, all the other lines appear like this, could you help me to fix this problem?– Ameer
Mar 29 at 15:01
I tried to use the same function with
rcorr' from Hmisc` package like this: rollapplyr(z, 24, function(x) rcorr(x, type=c("spearman")), by.column = FALSE) and returned the following lines Dec 1996 Numeric,4 Integer,4 Numeric,4, all the other lines appear like this, could you help me to fix this problem?– Ameer
Mar 29 at 15:01
You must wrap rcorr within a function that converts the output of rcorr to to a vector or matrix and use that function in rollapply.
– G. Grothendieck
Mar 29 at 18:47
You must wrap rcorr within a function that converts the output of rcorr to to a vector or matrix and use that function in rollapply.
– G. Grothendieck
Mar 29 at 18:47
add a comment |
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