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test for causality

3 messages · tobiasfa, Schalk Heunis, Pfaff, Bernhard Dr.

#
Hi useRs..

I cant figure out how to test for causality using causality() in vars
package

I have two datasets (A, B) and i want to test if A (Granger)cause B.
How do I write the script? I dont understand ?causality. How do I get x to
"contain" A and B. Further using the command VAR() to specify x, I dont
either understand.

Kind regards Tobias
#
Dear Tobias,

have a look at example(causality). A Granger-causality test is a F-test.
You need to estimate a VAR first, i.e., provide the complete data set
(cbind(A, b)) in VAR() and then provide the causing variable(s) in
causality.

Best,
Bernhard
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