ChickEgg               package:lmtest               R Documentation

_C_h_i_c_k_e_n_s, _E_g_g_s, _a_n_d _C_a_u_s_a_l_i_t_y

_D_e_s_c_r_i_p_t_i_o_n:

     US chicken population and egg production.

_U_s_a_g_e:

     data(ChickEgg)

_F_o_r_m_a_t:

     An annual time series from 1930 to 1983 with 2 variables.

     _c_h_i_c_k_e_n number of chickens (December 1 population of all US
          chickens excluding commercial broilers),

     _e_g_g number of eggs (US egg production in millions of dozens).

_S_o_u_r_c_e:

     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).

_R_e_f_e_r_e_n_c_e_s:

     Thurman W.N. & Fisher M.E. (1988), Chickens, Eggs, and Causality,
     or Which Came First?, _American Journal of Agricultural
     Economics_, 237-238.

_E_x_a_m_p_l_e_s:

     ## 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)
     }

