[R] Granger Causality in a VAR Model
ivan
i.petzev at gmail.com
Mon Apr 4 20:23:47 CEST 2011
Dear Community,
I am new to R and have a question concerning the causality () test in
the vars package. I need to test whether, say, the variable y Granger
causes the variable x, given z as a control variable.
I estimated the VAR model as follows: >model<-VAR(cbind(x,y,z),p=2)
Then I did the following: >causality(model, cause="y"). I thing this
tests the Granger causality of y on the vector (x,z), though. How can
I implement the test for y causing x controlled for z? Thus, the
F-test comparing the two models M1:x~lagged(x)+lagged(z) and
M2:x~lagged(x)+lagged(y)+lagged(z)?
Thank you in advance.
Best Regards
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