R: Chickens, Eggs, and Causality

ChickEgg {lmtest} | R Documentation

## Chickens, Eggs, and Causality

### Description

US chicken population and egg production.

### Usage

    data(ChickEgg)

### Format

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

chicken

  number of chickens (December 1 population of all US chickens excluding commercial broilers),

egg

  number of eggs (US egg production in millions of dozens).

### Source

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).

### References

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

### Examples

    ## 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)
    }

[Package lmtest version 0.9-37 Index]