Hi Gabor,

Perhaps, I should have been clearer. 

In the subject like, I put "grangertest/lmtest" to indicate the 
grangertest function in the lmtest package.

Later in the example, I am specifically talking about granger.test in the 
MSBVAR package (which is not failing, as in the example at the very 
bottom) to which you are referring, as a comparison to grangertest in the 
lmtest package (which is failing, in the example at the top). 

In the example at the very bottom of the email, I invoke granger.test from 
the MSBVAR package with two arguments, as you rightly put.  grangertest in 
the lmtest package is invoked with three arguments. This is the function 
which is failing.

Hope this clarifies my question.

Tolga




"Gabor Grothendieck" <ggrothendieck@gmail.com> 
17/08/2008 14:14

To
tolga.i.uzuner@jpmorgan.com
cc
"Achim Zeileis" <Achim.Zeileis@wu-wien.ac.at>, R-HELP@r-project.org
Subject
Re: [R] grangertest/lmtest ... what am I doing wrong ?






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@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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Generally, this communication is for informational purposes only
and it is not intended as an offer or solicitation for the purchase
or sale of any financial instrument or as an official confirmation
of any transaction. In the event you are receiving the offering
materials attached below related to your interest in hedge funds or
private equity, this communication may be intended as an offer or
solicitation for the purchase or sale of such fund(s).  All market
prices, data and other information are not warranted as to
completeness or accuracy and are subject to change without notice.
Any comments or statements made herein do not necessarily reflect
those of JPMorgan Chase & Co., its subsidiaries and affiliates.

This transmission may contain information that is privileged,
confidential, legally privileged, and/or exempt from disclosure
under applicable law. If you are not the intended recipient, you
are hereby notified that any disclosure, copying, distribution, or
use of the information contained herein (including any reliance
thereon) is STRICTLY PROHIBITED. Although this transmission and any
attachments are believed to be free of any virus or other defect
that might affect any computer system into which it is received and
opened, it is the responsibility of the recipient to ensure that it
is virus free and no responsibility is accepted by JPMorgan Chase &
Co., its subsidiaries and affiliates, as applicable, for any loss
or damage arising in any way from its use. If you received this
transmission in error, please immediately contact the sender and
destroy the material in its entirety, whether in electronic or hard
copy format. Thank you.
Please refer to http://www.jpmorgan.com/pages/disclosures for
disclosures relating to UK legal entities.
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