[R-sig-Geo] Granger causality?
abunn at whrc.org
Tue Apr 19 15:39:50 CEST 2005
Ooops. I meant to send this to R-Sig-Finance. Sorry. -A
> -----Original Message-----
> From: r-sig-geo-bounces at stat.math.ethz.ch
> [mailto:r-sig-geo-bounces at stat.math.ethz.ch]On Behalf Of Andy Bunn
> Sent: Tuesday, April 19, 2005 9:34 AM
> To: r-sig-geo at stat.math.ethz.ch
> Subject: [R-sig-Geo] Granger causality?
> 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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> R-sig-Geo at stat.math.ethz.ch
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