[R] Modified Sims test

[Millo Giovanni]

Dear Chris,

I do not have the references here, but AFAIR:

if x and y are two time series, we say that "x does not Granger-cause y"
(x ngc y) if the models 

(1) y~y(-1)+y(-2)+...+x(-1)+x(-2)+...

and

(2) y~y(-1)+y(-2)+...

are "equivalent", i.e. if past values of x "do not help explaining" y.
The Granger test is thus the exclusion test for the lagged x in (1) (see
?grangertest).

The Sims test, which is equivalent to the Granger test under certain
circumstances, substitutes (1) with 

(3) y~x(-1)+x(-2)+...+x(+1)+x(+2)+...

We could well consider including this in lmtest one day: I'll speak to
the maintainer. For now, as the current grangertest.default() method is
based on waldtest() and lag(), which last works symmetrically, a quick
hack is straightforward. I am including it for your convenience, but
without any guarantee (my quick hacks don't usually work properly in the
first place).
I suggest you check the results by building up the two test models "by
hand" and comparing them through waldtest{lmtest}.

HTH
Giovanni

** Original message **

Message: 8
Date: Mon, 9 Apr 2007 08:25:23 -0400
From: "Chris Elsaesser" <chris.elsaesser at spadac.com>
Subject: [R] Modified Sims test
To: <r-help at stat.math.ethz.ch>
Message-ID:
	<04C44D9F040C8A43A18D04F65A8B68BB7D8344 at spatcex001.spadac.com>
Content-Type: text/plain;	charset="us-ascii"

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,
chris


Refernces:

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)
SPADAC Inc.
7921 Jones Branch Dr. Suite 600
McLean, VA 22102



------------------------------

Giovanni Millo
Research Dept.,
Assicurazioni Generali SpA
Via Machiavelli 4, 
34131 Trieste (Italy)
tel. +39 040 671184 
fax  +39 040 671160
 
Ai sensi del D.Lgs. 196/2003 si precisa che le informazioni contenute in questo messaggio sono riservate ed a uso esclusivo del destinatario. Qualora il messaggio in parola Le fosse pervenuto per errore, La invitiamo ad eliminarlo senza copiarlo e a non inoltrarlo a terzi, dandocene gentilmente comunicazione. Grazie.

Pursuant to Legislative Decree No. 196/2003, you are hereby informed that this message contains confidential information intended only for the use of the addressee. If you are not the addressee, and have received this message by mistake, please delete it and immediately notify us. You may not copy or disseminate this message to anyone. Thank you.