[R-sig-Geo] Granger causality?
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
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e-mail: Roger.Bivand at nhh.no
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