[R] Multivariate Granger Causality Tests

hazzard
Thu, 03 Mar 2011 09:07:02 -0000

Dear Community,

For my masters thesis I need to perform a multivariate granger causality
test. I have found a code for bivariate testing on this page
(http://www.econ.uiuc.edu/~econ472/granger.R.txt), which I think would not
be useful for the multivariate case. Does anybody know a code for a
multivariate granger causality test. Thank you in advance.

Best Regards

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