Granger causality?
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.
Roger
Thanks in advance, Andy
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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