Hi Christian,

In the end, my information share and Gonzalo-Granger weights turned out to
be in consonance with the literature. I finalized the code with minor
changes like imposing a lag structure if required etc.

No, to the best of my knowledge, there is no standard package in R which
implements the two methodologies.

Nidhi
On 9 Jan 2012 17:42, "clangkamp [via R]" <
ml-node+s789695n4278272h72@n4.nabble.com> wrote:

> Dear Nidhi
> how did you fare in the end with the information share and the
> Gonzalo-Granger weights ? Did you finalize the code ?
> Do you by any chance know whether code for these items is available within
> a standard R econometrics packages ?
>
> Best wishes
> Christian
> Christian Langkamp
> christian.langkamp-at-gmxpro.de
>
>
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