[R] Multivariate Granger Causality Tests

[Pfaff, Bernhard Dr.]

Dear Hazzard I. Petzev,

you might find causality() in the package vars useful.

Best,
Bernhard 

> -----Ursprüngliche Nachricht-----
> Von: r-help-bounces at r-project.org 
> [mailto:r-help-bounces at r-project.org] Im Auftrag von hazzard
> Gesendet: Donnerstag, 3. März 2011 10:07
> An: r-help at r-project.org
> Betreff: [R] Multivariate Granger Causality Tests
> 
> Dear Community,
> 
> For my masters thesis I need to perform a multivariate 
> granger causality test. I have found a code for bivariate 
> testing on this page 
> (http://www.econ.uiuc.edu/~econ472/granger.R.txt), which I 
> think would not be useful for the multivariate case. Does 
> anybody know a code for a multivariate granger causality 
> test. Thank you in advance.
> 
> Best Regards
> 
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