[R-SIG-Finance] Causality test

markleeds at verizon.net markleeds at verizon.net
Thu Apr 17 23:10:38 CEST 2008

>From: bereket weldeslassie <berekket at gmail.com>
>Date: 2008/04/17 Thu PM 04:02:45 CDT
>To: r-sig-finance at stat.math.ethz.ch
>Subject: [R-SIG-Finance] Causality test

I don't know what the Sims Causality test
is but I'm almost positive that Bernhard's VARS package
has the Granger Causality test and maybe they're related ?

>Dear All,
>I am doing Casuality test among several time series variables.
>I am using the granger.test() function in the MSBVAR package. I am also
>trying to do the Sims Causality test (which tests the relationship between
>present values of one variable and the leading values of an other variable).
>Is there a function in R that does the Sims Causality test? I appreciate
>your help.
>	[[alternative HTML version deleted]]
>R-SIG-Finance at stat.math.ethz.ch mailing list
>-- Subscriber-posting only. 
>-- If you want to post, subscribe first.

More information about the R-SIG-Finance mailing list