[R-sig-Geo] Granger causality?

[Roger Bivand]

On Tue, 19 Apr 2005, Andy Bunn wrote:

> 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!

In 2.1.0, doing RSiteSearch("Granger") gives some hits, but it looks as 
though this test is not available with this name - plenty of other things 
in tseries, urca, and fSeries though.

Roger

> 
> Thanks in advance, Andy
> 
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-- 
Roger Bivand
Economic Geography Section, Department of Economics, Norwegian School of
Economics and Business Administration, Helleveien 30, N-5045 Bergen,
Norway. voice: +47 55 95 93 55; fax +47 55 95 95 43
e-mail: Roger.Bivand at nhh.no