[R-SIG-Finance] Granger Causality in VAR Model
i.petzev at gmail.com
Tue Apr 5 00:20:43 CEST 2011
I am new to R and have a question concerning the causality () test in
the vars package. I need to test whether, say, the variable y Granger
causes the variable x, given z as a control variable.
I estimated the VAR model as follows: >model<-VAR(cbind(x,y,z),p=2)
Then I did the following: >causality(model, cause="y"). I thing this
tests the Granger causality of y on the vector (x,z), though. How can
I implement the test for y causing x controlled for z? Thus, the
F-test comparing the two models M1:x~lagged(x)+lagged(z) and
Thank you in advance.
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