Granger causality test?
Andy, The "ar" function in the stats packages fits either univariate AR or multivariate AR (VAR) models, depending on whether the input time series is univariate or multivariate. Regards, Vivek Rao
--- Andy Bunn <abunn@whrc.org> 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! Thanks in advance, Andy
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