[R] Granger causality with panel data (econometrics question)

[Harun Özkan]

Hi folks,

I am trying to perform a Granger causality analysis with panel data. There 
are some packages around for panel data analysis and Granger causality. 
However, I have found neither a package for both panel data and Granger 
causality nor any R procedures (homogenous/heterogenous causality 
hypotheses, related tests such as Wald, unit root tests etc.).

Of course, someone must have encountered this problem before me. Can anyone 
suggest a solution to this case?

Thanks in advance.