HAC-robust version of bruceR::granger_test()

library(sandwich)
library(lmtest)
library(bruceR)
#
# original function
?granger_test
#
# Prepare HAC robust version of the test : start
granger_test_HAC <- function (formula, data, lags = 1:5, test.reverse = TRUE, file = NULL, ...) 
{
  installed("lmtest")
  res = data.frame(Lag = lags, D1 = "", D2 = "", D12 = "")
  names(res)[2:4] = c("Hypothesized Direction", "Reverse Direction", 
                      "Hypothesized (vs. Reverse)")
  if (test.reverse) {
    formula.rev = as.formula(paste(formula[3], formula[1], 
                                   formula[2]))
    formulas = list(formula, formula.rev)
  }
  else {
    formulas = list(formula)
  }
  Print("\n  \n\n  <<cyan Granger Causality Test (Bivariate)>>\n\n  Hypothesized direction:\n  <<blue {formula[2]} ~ {formula[2]}[1:Lags] + <<green {formula[3]}[1:Lags]>>>>\n  ")
  for (f in formulas) {
    rev = FALSE
    if (test.reverse & f != formulas[[1]]) {
      rev = TRUE
      Print("\n      \n\n      Reverse direction:\n      <<blue {formula[3]} ~ {formula[3]}[1:Lags] + <<green {formula[2]}[1:Lags]>>>>\n      ")
    }
    for (lag in lags) {
      gt = lmtest::grangertest(formula = f, data = data, 
                               order = lag, na.action = na.omit, ...)
      Fval = gt[2, "F"]
      df1 = -gt[2, "Df"]
      df2 = gt[1, "Res.Df"]
      sig = str_trim(sig.trans(p.f(Fval, df1, df2)))
      result = bruceR::p(f = Fval, df1 = df1, df2 = df2)
      result.simple = formatF(Fval, 2) %^% ifelse(sig == 
                                                    "", "", "<sup>" %^% sig %^% "</sup>")
      Print("Lags = {lag}:\t{result}")
      res[which(res$Lag == lag), ifelse(rev, 3, 2)] = p.plain(f = Fval, 
                                                              df1 = df1, df2 = df2)
      res[which(res$Lag == lag), 4] = ifelse(rev, res[[which(res$Lag == 
                                                               lag), 4]] %^% " (vs. " %^% result.simple %^% 
                                               ")", result.simple)
    }
  }
  cat("\n")
  if (!is.null(file)) {
    RES = res
    RES[[2]] = str_replace(str_replace(RES[[2]], "p", "<i>p</i>"), 
                           "F", "<i>F</i>")
    RES[[3]] = str_replace(str_replace(RES[[3]], "p", "<i>p</i>"), 
                           "F", "<i>F</i>")
    if (test.reverse == FALSE) 
      RES = RES[1:2]
    print_table(RES, row.names = FALSE, digits = 0, file.align.head = "left", 
                file.align.text = "left", title = "<b>Table. Granger Causality Test (Bivariate).</b>", 
                note = "<i>Note</i>. * <i>p</i> < .05. ** <i>p</i> < .01. *** <i>p</i> < .001.", 
                file = file)
  }
}
#
environment(granger_test_HAC) <- asNamespace('bruceR')
#
# Prepare HAC robust version of the test : end
#
granger_test(chicken ~ egg, data=lmtest::ChickEgg)
granger_test_HAC(chicken ~ egg, data=lmtest::ChickEgg, vcov=vcovHAC) # HAC