[R-SIG-Finance] how to study the lead and lag relation of two time series? (Washington Santos da Silva)

Vorlow Constantinos CVorlow at eurobank.gr
Mon Jan 26 12:19:15 CET 2009

You could use any packages that estimates VAR and Granger causality
tests (and derivatives)...

Try help.search("causal")...

However you need to clarify what you are up to... 

Read Granger's papers carefully. Causality and correlation do not
necessarily imply dependence...

Good luck,

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Date: Mon, 26 Jan 2009 00:25:19 -0200
From: Washington Santos da Silva <wssecn at uol.com.br>
Subject: Re: [R-SIG-Finance] how to study the lead and lag relation of
	two	time series?
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