R Under development (unstable) (2023-11-30 r85651 ucrt) -- "Unsuffered Consequences"
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> 
> 
> ###test causality
> library(vars)
Loading required package: MASS
Loading required package: strucchange
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: sandwich
Loading required package: urca
Loading required package: lmtest
> data(Canada)
> 
> myVar<-VAR(Canada, p=2, season=12)
> 
> causality(myVar)
$Granger

	Granger causality H0: e do not Granger-cause prod rw U

data:  VAR object myVar
F-Test = 5.6938, df1 = 6, df2 = 248, p-value = 1.454e-05


$Instant

	H0: No instantaneous causality between: e and prod rw U

data:  VAR object myVar
Chi-squared = 26.019, df = 3, p-value = 9.452e-06


Warning message:
In causality(myVar) : 
Argument 'cause' has not been specified;
using first variable in 'x$y' (e) as cause variable.

> causality(myVar, cause="e")
$Granger

	Granger causality H0: e do not Granger-cause prod rw U

data:  VAR object myVar
F-Test = 5.6938, df1 = 6, df2 = 248, p-value = 1.454e-05


$Instant

	H0: No instantaneous causality between: e and prod rw U

data:  VAR object myVar
Chi-squared = 26.019, df = 3, p-value = 9.452e-06


> causality(myVar, cause="prod")
$Granger

	Granger causality H0: prod do not Granger-cause e rw U

data:  VAR object myVar
F-Test = 2.4819, df1 = 6, df2 = 248, p-value = 0.02381


$Instant

	H0: No instantaneous causality between: prod and e rw U

data:  VAR object myVar
Chi-squared = 0.29751, df = 3, p-value = 0.9605


> causality(myVar, cause="rw")
$Granger

	Granger causality H0: rw do not Granger-cause e prod U

data:  VAR object myVar
F-Test = 2.1694, df1 = 6, df2 = 248, p-value = 0.04653


$Instant

	H0: No instantaneous causality between: rw and e prod U

data:  VAR object myVar
Chi-squared = 3.0925, df = 3, p-value = 0.3776


> causality(myVar, cause="U")
$Granger

	Granger causality H0: U do not Granger-cause e prod rw

data:  VAR object myVar
F-Test = 2.8427, df1 = 6, df2 = 248, p-value = 0.01076


$Instant

	H0: No instantaneous causality between: U and e prod rw

data:  VAR object myVar
Chi-squared = 26.277, df = 3, p-value = 8.344e-06


> 
> causality(myVar, cause=c("e", "prod"))
$Granger

	Granger causality H0: e prod do not Granger-cause rw U

data:  VAR object myVar
F-Test = 6.1731, df1 = 8, df2 = 248, p-value = 2.868e-07


$Instant

	H0: No instantaneous causality between: e prod and rw U

data:  VAR object myVar
Chi-squared = 26.265, df = 4, p-value = 2.798e-05


> causality(myVar, cause=c("prod","e"))
$Granger

	Granger causality H0: e prod do not Granger-cause rw U

data:  VAR object myVar
F-Test = 6.1731, df1 = 8, df2 = 248, p-value = 2.868e-07


$Instant

	H0: No instantaneous causality between: e prod and rw U

data:  VAR object myVar
Chi-squared = 26.265, df = 4, p-value = 2.798e-05


> causality(myVar, cause=c("e", "prod","rw"))
$Granger

	Granger causality H0: e prod rw do not Granger-cause U

data:  VAR object myVar
F-Test = 8.2792, df1 = 6, df2 = 248, p-value = 3.496e-08


$Instant

	H0: No instantaneous causality between: e prod rw and U

data:  VAR object myVar
Chi-squared = 26.277, df = 3, p-value = 8.344e-06


> 
> myVar2<-VAR(Canada, p=3, type="trend")
> causality(myVar2, cause="e")
$Granger

	Granger causality H0: e do not Granger-cause prod rw U

data:  VAR object myVar2
F-Test = 4.7587, df1 = 9, df2 = 272, p-value = 6.768e-06


$Instant

	H0: No instantaneous causality between: e and prod rw U

data:  VAR object myVar2
Chi-squared = 29.665, df = 3, p-value = 1.623e-06


> causality(myVar2, cause="prod")
$Granger

	Granger causality H0: prod do not Granger-cause e rw U

data:  VAR object myVar2
F-Test = 2.3964, df1 = 9, df2 = 272, p-value = 0.01256


$Instant

	H0: No instantaneous causality between: prod and e rw U

data:  VAR object myVar2
Chi-squared = 1.3713, df = 3, p-value = 0.7123


> causality(myVar2, cause="rw")
$Granger

	Granger causality H0: rw do not Granger-cause e prod U

data:  VAR object myVar2
F-Test = 2.221, df1 = 9, df2 = 272, p-value = 0.02101


$Instant

	H0: No instantaneous causality between: rw and e prod U

data:  VAR object myVar2
Chi-squared = 2.3541, df = 3, p-value = 0.5022


> causality(myVar2, cause="U")
$Granger

	Granger causality H0: U do not Granger-cause e prod rw

data:  VAR object myVar2
F-Test = 2.129, df1 = 9, df2 = 272, p-value = 0.02738


$Instant

	H0: No instantaneous causality between: U and e prod rw

data:  VAR object myVar2
Chi-squared = 29.608, df = 3, p-value = 1.668e-06


> 
> causality(myVar2, cause=c("e", "prod"))
$Granger

	Granger causality H0: e prod do not Granger-cause rw U

data:  VAR object myVar2
F-Test = 4.3402, df1 = 12, df2 = 272, p-value = 2.544e-06


$Instant

	H0: No instantaneous causality between: e prod and rw U

data:  VAR object myVar2
Chi-squared = 29.601, df = 4, p-value = 5.902e-06


> causality(myVar, cause=c("prod","e"))
$Granger

	Granger causality H0: e prod do not Granger-cause rw U

data:  VAR object myVar
F-Test = 6.1731, df1 = 8, df2 = 248, p-value = 2.868e-07


$Instant

	H0: No instantaneous causality between: e prod and rw U

data:  VAR object myVar
Chi-squared = 26.265, df = 4, p-value = 2.798e-05


> causality(myVar, cause=c("e", "prod","rw"))
$Granger

	Granger causality H0: e prod rw do not Granger-cause U

data:  VAR object myVar
F-Test = 8.2792, df1 = 6, df2 = 248, p-value = 3.496e-08


$Instant

	H0: No instantaneous causality between: e prod rw and U

data:  VAR object myVar
Chi-squared = 26.277, df = 3, p-value = 8.344e-06


> 
>  myVar3<-VAR(Canada[,1:3], p=1, exogen=Canada[,4], type="none")
Warning message:
In VAR(Canada[, 1:3], p = 1, exogen = Canada[, 4], type = "none") :
  No column names supplied in exogen, using: exo1 , instead.

> 
> causality(myVar3)
$Granger

	Granger causality H0: e do not Granger-cause prod rw

data:  VAR object myVar3
F-Test = 8.0347, df1 = 2, df2 = 237, p-value = 0.0004205


$Instant

	H0: No instantaneous causality between: e and prod rw

data:  VAR object myVar3
Chi-squared = 11.261, df = 2, p-value = 0.003587


Warning message:
In causality(myVar3) : 
Argument 'cause' has not been specified;
using first variable in 'x$y' (e) as cause variable.

> causality(myVar3, cause="e")
$Granger

	Granger causality H0: e do not Granger-cause prod rw

data:  VAR object myVar3
F-Test = 8.0347, df1 = 2, df2 = 237, p-value = 0.0004205


$Instant

	H0: No instantaneous causality between: e and prod rw

data:  VAR object myVar3
Chi-squared = 11.261, df = 2, p-value = 0.003587


> causality(myVar3, cause="prod")
$Granger

	Granger causality H0: prod do not Granger-cause e rw

data:  VAR object myVar3
F-Test = 13.585, df1 = 2, df2 = 237, p-value = 2.597e-06


$Instant

	H0: No instantaneous causality between: prod and e rw

data:  VAR object myVar3
Chi-squared = 4.8762, df = 2, p-value = 0.08732


> causality(myVar3, cause="rw")
$Granger

	Granger causality H0: rw do not Granger-cause e prod

data:  VAR object myVar3
F-Test = 3.7897, df1 = 2, df2 = 237, p-value = 0.02399


$Instant

	H0: No instantaneous causality between: rw and e prod

data:  VAR object myVar3
Chi-squared = 8.1627, df = 2, p-value = 0.01689


> 
> causality(myVar3, cause=c("e", "prod"))
$Granger

	Granger causality H0: e prod do not Granger-cause rw

data:  VAR object myVar3
F-Test = 33.769, df1 = 2, df2 = 237, p-value = 1.248e-13


$Instant

	H0: No instantaneous causality between: e prod and rw

data:  VAR object myVar3
Chi-squared = 8.1627, df = 2, p-value = 0.01689


> causality(myVar3, cause=c("prod","e"))
$Granger

	Granger causality H0: e prod do not Granger-cause rw

data:  VAR object myVar3
F-Test = 33.769, df1 = 2, df2 = 237, p-value = 1.248e-13


$Instant

	H0: No instantaneous causality between: e prod and rw

data:  VAR object myVar3
Chi-squared = 8.1627, df = 2, p-value = 0.01689


> 
> 
> proc.time()
   user  system elapsed 
   0.50    0.12    0.62