[R-SIG-Finance] how to study the lead and lag relation of two time series?

[Charles Ward]

Google "Granger Causality"
or use Wikipedia and you will find a reference to testing for Granger
Causality using R

CW

On Thu, Jan 22, 2009 at 4:38 AM, Matthieu Stigler
<matthieu.stigler at gmail.com> wrote:
> Michael a écrit :
>>
>> Hi all,
>>
>> Is there a way to study the lead and lag relation of two time series?
>>
>> Let's say I have two time series, At and Bt. Is there a systematic way
>> of concluding whether it's A leading B or B leading A and by how much?
>>
>> Thanks!
>>
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>
> You can use cross-correlation:
> a<-rnorm(100)
>> b<-runif(100)
>> ccf<-ccf(a,b)
> plot(ccf)
> ccf$acf
>
> Or use some VAR from package vars.
>
> Bests Mat
>
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