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explodecomputer / granger.R
Last active January 27, 2017 09:31
Granger causality
library(lmtest)
data(ChickEgg)
chickegg <- as.data.frame(ChickEgg)
chickegg$Year <- 1:nrow(chickegg) + 1929
attach(chickegg)
library(forecast)
ndiffs(chicken, alpha=0.05, test=c("kpss"))
ndiffs(egg, alpha=0.05, test=c("kpss"))