[R-sig-Geo] Granger causality?

Roger Bivand Roger.Bivand at nhh.no
Tue Apr 19 15:51:02 CEST 2005

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.


> Thanks in advance, Andy
> _______________________________________________
> R-sig-Geo mailing list
> R-sig-Geo at stat.math.ethz.ch
> https://stat.ethz.ch/mailman/listinfo/r-sig-geo

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

More information about the R-sig-Geo mailing list