Friday, 6 September 2013

How to get df2 in causality() Granger test in R

How to get df2 in causality() Granger test in R

i thank you in advance if someone please help me out on this: I use a
VAR(1) model with two variables (f,m) each with 59 observations; I already
saw R help and several books about this topic but can´t figure how df2 =
108
var.causal.m <- causality(ajustVAR1FM, cause = "m") var.causal.m $Granger
Granger causality H0: m do not Granger-cause f
data: VAR object ajustVAR1FM F-Test = 5.9262, df1 = 1, df2 = 108, p-value
= 0.01656

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