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2011 Mar 03
2
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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