Dear Community, I am new to R and have a question concerning the causality () test in the vars package. I need to test whether, say, the variable y Granger causes the variable x, given z as a control variable. I estimated the VAR model as follows: >model<-VAR(cbind(x,y,z),p=2) Then I did the following: >causality(model, cause="y"). I thing this tests the Granger causality of y on the vector (x,z), though. How can I implement the test for y causing x controlled for z? Thus, the F-test comparing the two models M1:x~lagged(x)+lagged(z) and M2:x~lagged(x)+lagged(y)+lagged(z)? Thank you in advance. Best Regards
The below email was cross-posted to R-Sig-Finance and has been answered there.> -----Urspr?ngliche Nachricht----- > Von: r-help-bounces at r-project.org > [mailto:r-help-bounces at r-project.org] Im Auftrag von ivan > Gesendet: Montag, 4. April 2011 20:24 > An: r-help at r-project.org > Betreff: [R] Granger Causality in a VAR Model > > Dear Community, > > I am new to R and have a question concerning the causality () > test in the vars package. I need to test whether, say, the > variable y Granger causes the variable x, given z as a > control variable. > > I estimated the VAR model as follows: >model<-VAR(cbind(x,y,z),p=2) > > Then I did the following: >causality(model, cause="y"). I > thing this tests the Granger causality of y on the vector > (x,z), though. How can I implement the test for y causing x > controlled for z? Thus, the F-test comparing the two models > M1:x~lagged(x)+lagged(z) and M2:x~lagged(x)+lagged(y)+lagged(z)? > > Thank you in advance. > > Best Regards > > ______________________________________________ > R-help at r-project.org mailing list > stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >***************************************************************** Confidentiality Note: The information contained in this ...{{dropped:10}}