[R] Modified Sims test

Chris Elsaesser chris.elsaesser at spadac.com
Mon Apr 9 14:25:23 CEST 2007

Does anyone know of a package that includes the Modified Sims test
[Gewerke, 1983, Sims, 1972]?

This test is used in econometrics and is a kind of alternative to the
Granger test [Granger, 1969], which is in the package lmtest.

Thanks in advance,


Gewerke, J., R. Meese, and W. Dent (1983), "Comparing Alternative Tests
of Causality in Temporal Systems: Analytic Results and Experimental
Evidence." Journal of Econometrics, 83, 161-194. 

Granger, C.W.J. (1969), "Investigating Causal Relations by Econometric
Methods and Cross-Spectral Methods," Econometrica, 34, 424-438.

Sims, C. (1972), "Money, Income and Causality," American Economic
Review, 62, 540-552.

Chris Elsaesser, PhD            703.637.9421 (o)
Principal Geospatial Scientist  703.371.7301 (m)
7921 Jones Branch Dr. Suite 600
McLean, VA 22102

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