[R-sig-Geo] Granger causality?

Andy Bunn abunn at whrc.org
Tue Apr 19 15:34:20 CEST 2005

Has anybody implemented the Granger causality test in R? The bivariate test
is just an F test for 0 values of lagged regressors and can be implemented
easily. A function that for multivariate Granger causes would require
fitting a vector autoregressive model and I'm hoping that somebody before me
has coded it!

Thanks in advance, Andy

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