[R-SIG-Finance] Granger Causality in VAR Model

Pfaff, Bernhard Dr. Bernhard_Pfaff at fra.invesco.com
Tue Apr 5 10:01:30 CEST 2011

Hello Ivan,

this is most easily achieved, if you supply z as an exogenous variable. Hence, the dimension of your VAR reduces from three (x, y, z) to two (x, y). See ?VAR for available arguments.


> -----Ursprüngliche Nachricht-----
> Von: r-sig-finance-bounces at r-project.org 
> [mailto:r-sig-finance-bounces at r-project.org] Im Auftrag von ivan
> Gesendet: Dienstag, 5. April 2011 00:21
> An: r-sig-finance at r-project.org
> Betreff: [R-SIG-Finance] Granger Causality in VAR Model
> Dear Community,
> 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 M2:x~lagged(x)+lagged(y)+lagged(z)?
> Thank you in advance.
> Best Regards
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