Package: caustests 1.1.7
Muhammad Alkhalaf
caustests: Multiple Granger Causality Tests for Time Series and Panel Data
Comprehensive suite of Granger causality tests for time series and panel data. For time series: Toda-Yamamoto (1995) <doi:10.1016/0304-4076(94)01616-8>, Fourier-based tests with single frequency (Enders and Jones, 2016) <doi:10.1515/snde-2014-0101> and cumulative frequencies (Nazlioglu et al., 2019) <doi:10.1080/1540496X.2018.1434072>, quantile causality tests (Cai et al., 2023) <doi:10.1016/j.frl.2023.104327>, and Bootstrap Fourier Granger Causality in Quantiles (Cheng et al., 2021) <doi:10.1007/s12076-020-00263-0>. For panel data: Panel Fourier Toda-Yamamoto (Yilanci and Gorus, 2020) <doi:10.1007/s11356-020-10092-9> and Panel Quantile Causality tests (Wang and Nguyen, 2022) <doi:10.1080/1331677X.2021.1948436>, as well as Group-Mean and Pooled Fully Modified OLS estimators for panel cointegrating polynomial regressions (Wagner and Reichold, 2023) <doi:10.1080/07474938.2023.2178141>. All tests include bootstrap inference for robust p-values.
Authors:
caustests_1.1.7.tar.gz
caustests_1.1.7.zip(r-4.7-any)caustests_1.1.7.zip(r-4.6-any)
caustests_1.1.7.tar.gz(r-4.7-any)caustests_1.1.7.tar.gz(r-4.6-any)
caustests_1.1.7.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
caustests/json (API)
| # Install 'caustests' in R: |
| install.packages('caustests', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/muhammedalkhalaf/caustests/issues
- caustests_data - Example Time Series Dataset for Causality Tests
Last updated from:0b1a5f4e6e. Checks:6 OK. Indexed: no.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel | OK | 107 | ||
| source / vignettes | OK | 168 | ||
| linux-release | OK | 106 | ||
| windows-devel | OK | 75 | ||
| windows-release | OK | 70 | ||
| wasm-release | OK | 93 |
Exports:caustestsgrunfeld_cmggrunfeld_panelxtpcausxtpcmg
Dependencies:latticeMASSMatrixMatrixModelsquantregSparseMsurvival
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Multiple Granger Causality Tests | caustests |
| Example Time Series Dataset for Causality Tests | caustests_data |
| Example Panel Data for xtpcmg | grunfeld_cmg |
| Example Panel Data for xtpcaus | grunfeld_panel |
| Plot Quantile Causality Results | plot.caustests |
| Print Method for xtpcaus Objects | print.xtpcaus |
| Print Method for xtpcmg Objects | print.xtpcmg |
| Summary Method for xtpcaus Objects | summary.xtpcaus |
| Summary Method for xtpcmg Objects | summary.xtpcmg |
| Panel Granger Causality Tests | xtpcaus |
| Panel Cointegrating Polynomial Regressions via FM-OLS | xtpcmg |