From: bereket weldeslassie <berekket at gmail.com> Date: 2008/04/17 Thu PM 04:02:45 CDT To: r-sig-finance at stat.math.ethz.ch Subject: [R-SIG-Finance] Causality test
I don't know what the Sims Causality test is but I'm almost positive that Bernhard's VARS package has the Granger Causality test and maybe they're related ?
Dear All, I am doing Casuality test among several time series variables. I am using the granger.test() function in the MSBVAR package. I am also trying to do the Sims Causality test (which tests the relationship between present values of one variable and the leading values of an other variable). Is there a function in R that does the Sims Causality test? I appreciate your help. Thanks, Bereket [[alternative HTML version deleted]]
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