Hi,

Never analysed such high frequency data, but I'd start by looking at a 
plot of the sample cross correlation function. If the CCF indicates some 
relationship, you can use a transfer model. See Shumway and Stoffer 
(2010:296-301), no special packages required.

Hope that helps,

Stefan
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Stefan Janse van Rensburg 
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<http://www.ru.ac.za/statistics/staff/mrstefanjansevanrensburg/>

Lecturer, Dept. of Statistics, Rhodes University

Tel: +27-046-603-8682

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