Software implementation

Here is an archetype of the action grangertest() in the lmtest library of the R package:

Granger agent test

Model 1: fii ~ Lags(fii, 1:5) + Lags(rM, 1:5)

Model 2: fii ~ Lags(fii, 1:5)

Res.Df Df F Pr(>F)

1 629

2 634 5 2.5115 0.02896 *

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Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Granger agent test

Model 1: rM ~ Lags(rM, 1:5) + Lags(fii, 1:5)

Model 2: rM ~ Lags(rM, 1:5)

Res.Df Df F Pr(>F)

1 629

2 634 5 1.1804 0.3172

The aboriginal Archetypal 1 tests whether it is accept to abolish lagged rM from the corruption answer FII application lagged FII. It is not (p = 0.02896). The additional brace of Archetypal 1 and Archetypal 2 finds that it is accessible to abolish the lagged FII from the archetypal answer rM application lagged rM. From this, we achieve that rM Granger-causes FII but not the added way around.