[R-SIG-Finance] How to find lead-lag relation in two time series?

[Eric Zivot]

The standard approach is to estimate a vector autoregression involving your
variables of interest and then test for Granger non-causality. See the vars
package and in particular the causality() function.


Eric Zivot                  			               
Professor and Gary Waterman Distinguished Scholar       
Department of Economics                                 
Adjunct Professor of Finance                            
Adjunct Professor of Statistics
Box 353330                  email:  ezivot at u.washington.edu 
University of Washington    phone:  206-543-6715            
Seattle, WA 98195-3330
www:  http://faculty.washington.edu/ezivot                  



-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Michael Jungle
Sent: Friday, February 19, 2010 2:47 PM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] How to find lead-lag relation in two time series?


Any systematic way in R of doing this?

Thanks a lot!
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