[R] grangertest/lmtest ... what am I doing wrong ?

[Gabor Grothendieck]

There is something wrong with the description below
since MSBVAR has granger.test, not grangertest,
and it takes 2 args, not 3.  This refers to 0.3-1 of
MSBVAR.

On Sun, Aug 17, 2008 at 9:07 AM,  <tolga.i.uzuner at jpmorgan.com> wrote:
> Dear Achim, R Users,
>
> What am I doing wrong in this example ?
>
> a<-zoo(rnorm(100),order.by=1:100)
> b<-lag(a)
> regr<-na.exclude(merge(a,b))
> plot(regr)
> grangertest(regr[,1],regr[,2],3)
>
>> a<-zoo(rnorm(100),order.by=1:100)
>> b<-lag(a)
>> regr<-na.exclude(merge(a,b))
>> plot(regr)
>> grangertest(regr[,1],regr[,2],3)
> Error in solve(vc[ovar, ovar]) : subscript out of bounds
>>
>
> This works fine in granger.test from the MSBVAR package:
>
>> a<-zoo(rnorm(100),order.by=1:100)
>> b<-lag(a)
>> regr<-na.exclude(merge(a,b))
>> plot(regr)
>> granger.test(regr,3)
>        F-statistic   p-value
> b -> a 1.259314e+34 0.0000000
> a -> b 6.167865e-01 0.6059222
>>
>
> Thanks in advance,
> Tolga
>
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