[R] Multivariate Granger Causality Tests

Pfaff, Bernhard Dr.
Thu, 03 Mar 2011 14:48:11 -0000

Dear Hazzard I. Petzev,

you might find causality() in the package vars useful.

Best,
Bernhard

> -----Urspr?ngliche Nachricht-----
> Von: r-help-bounces at r-project.org
> [mailto:r-help-bounces at r-project.org] Im Auftrag von hazzard
> Gesendet: Donnerstag, 3. M?rz 2011 10:07
> An: r-help at r-project.org
> Betreff: [R] Multivariate Granger Causality Tests
>
> 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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