Hi

I am trying to compute the Granger causality test using the Vector Error Correction Model (VECM) in R. I calculated the VECM in R using tsDyn package. Since I have I(1) and cointegrated variables, VECM is assumed to implement the Granger causality test. However I didn't find any function in R, that could perform the Granger Granger causality test for VECM. I would like to ask You, whether someone does know such a function. Here is my example:

ols.est <- dynlm(ts_ln.API.real.1~ts_MR.var.nom.1+L(d(ts_MR.var.nom.1), -3:3)) # Estimate θ with DOLS

est.theta <- dols.est$coefficients[2]

int.mts <- ts.union(ts_ln.API.real.1, ts_MR.var.nom.1) # Create a multivariate time series

VEC.est <- VECM(int.mts, lag=1, r=1, include = c("both"), beta = est. theta)

Any help will be greatly appreciated. Thank You in advance!
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