I will rather explain how the code works. If you are not very familiar with the procedure, I strongly recommend to read the post. I will not go through the explanation of the procedure because it is very clearly explained by the Professor Dave Giles in his post Testing for Granger Causality. TY is one of the ways that you can follow for Granger Causality testing in the context of nonstationary series. TY requires a previous knowledge about the order of integration of the series. If you want to use a code that applies unit root tests to a whole database following the Enders and Kennedy (2001) strategy for unit roots (so the code will find out if you need constant or trend), you can read this post. As always I try to achieve, you only need a very basic knowledge of R to use the code. In this post I will describe how to use a code that applies the Toda and Yamamoto (TY) procedure to a whole database.
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