Does anyone know of any R code for computing partial cross-correlation?  I have examples of cross correlation functions (ccfs) that are not smooth but rather consist of a peak of several high values in consecutive lags, with sharp drops on either side.  This indicates that y(t) is a function of some average of x(t-tau) at the set of lags tau over which the ccf is high.  I could sort out these behaviors more precisely with ccf and partial ccf.  I just don't know how to compute the partial ccf in R.

Thanks,
Kevin

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