[R] Granger Causality in a VAR Model

[Pfaff, Bernhard Dr.]

The below email was cross-posted to R-Sig-Finance and has been answered there.  

> -----Ursprüngliche Nachricht-----
> Von: r-help-bounces at r-project.org 
> [mailto:r-help-bounces at r-project.org] Im Auftrag von ivan
> Gesendet: Montag, 4. April 2011 20:24
> An: r-help at r-project.org
> Betreff: [R] Granger Causality in a VAR Model
> 
> 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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