[R-SIG-Finance] Granger causality with panel data (econometrics related question)

[Harun Özkan]

Hi folks,

I am trying to perform a Granger causality analysis with panel data. There 
are some packages around for panel data analysis alone and Granger causality 
per se.
However, I have found neither a package subsuming Granger causality with 
panel data nor any R procedures, that could include homogenous/heterogenous 
frameworks, related tests such as Wald, unit root tests etc.

Of course, someone must have encountered this problem before I did. Does 
anyone know a quick solution to this case?

Thanks in advance.