[R-sig-finance] Granger causality test?

[Vivek Rao]

Andy,

The "ar" function in the stats packages fits either
univariate AR or multivariate AR (VAR) models,
depending on whether the input time series is
univariate or multivariate.

Regards,
Vivek Rao

--- Andy Bunn <abunn at whrc.org> wrote:
> 
> Has anybody implemented the Granger causality test
> in R? The bivariate test
> is just an F test for 0 values of lagged regressors
> and can be implemented
> easily. A function that for multivariate Granger
> causes would require
> fitting a vector autoregressive model and I'm hoping
> that somebody before me
> has coded it!
> 
> Thanks in advance, Andy
> 
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