ChickEgg {lmtest} | R Documentation |
US chicken population and egg production.
data(ChickEgg)
An annual time series from 1930 to 1983 with 2 variables.
The data set was provided by Walter Thurman and made available for R by Roger Koenker. Unfortunately, the data is slightly different than the data analyzed in Thurman & Fisher (1988).
Thurman W.N. & Fisher M.E. (1988), Chickens, Eggs, and Causality, or Which Came First?, American Journal of Agricultural Economics, 237-238.
## Which came first: the chicken or the egg? data(ChickEgg) ## chickens granger-cause eggs? grangertest(egg ~ chicken, order = 3, data = ChickEgg) ## eggs granger-cause chickens? grangertest(chicken ~ egg, order = 3, data = ChickEgg) ## To perform the same tests `by hand', you can use dynlm() and waldtest(): if(require(dynlm)) { ## chickens granger-cause eggs? em <- dynlm(egg ~ L(egg, 1) + L(egg, 2) + L(egg, 3), data = ChickEgg) em2 <- update(em, . ~ . + L(chicken, 1) + L(chicken, 2) + L(chicken, 3)) waldtest(em, em2) ## eggs granger-cause chickens? cm <- dynlm(chicken ~ L(chicken, 1) + L(chicken, 2) + L(chicken, 3), data = ChickEgg) cm2 <- update(cm, . ~ . + L(egg, 1) + L(egg, 2) + L(egg, 3)) waldtest(cm, cm2) }