Granger causality?

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Granger causality?

Andy Bunn
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!

Thanks in advance, Andy



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Granger causality?

Andy Bunn
Ooops. I meant to send this to R-Sig-Finance. Sorry. -A

> -----Original Message-----
> From: r-sig-geo-bounces at stat.math.ethz.ch
> [mailto:r-sig-geo-bounces at stat.math.ethz.ch]On Behalf Of Andy Bunn
> Sent: Tuesday, April 19, 2005 9:34 AM
> To: r-sig-geo at stat.math.ethz.ch
> Subject: [R-sig-Geo] Granger causality?
>
>
> 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!
>
> Thanks in advance, Andy
>
> _______________________________________________
> R-sig-Geo mailing list
> R-sig-Geo at stat.math.ethz.ch
> https://stat.ethz.ch/mailman/listinfo/r-sig-geo
>



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Granger causality?

Roger Bivand
Administrator
In reply to this post by Andy Bunn
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
>
> _______________________________________________
> R-sig-Geo mailing list
> R-sig-Geo at stat.math.ethz.ch
> https://stat.ethz.ch/mailman/listinfo/r-sig-geo
>

--
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



Roger Bivand
Department of Economics
Norwegian School of Economics
Helleveien 30
N-5045 Bergen, Norway