[R] Spectral Analysis of Time Series in R

Pfaff, Bernhard Dr. Bernhard_Pfaff at fra.invesco.com
Wed Dec 3 16:07:15 CET 2008

Hello Alexander,

for (3) see the CRAN-package "vars".


>Dear R Community,
>I am currently student at the Vienna University of Technology 
>writing my 
>Diploma thesis on causality in time series and doing some analyses of 
>time series in R. I have the following questions:
>(1) Is there a function in R to estimate the PARTIAL spectral 
>of a multivariate time series? If yes, how does this work? Is there an 
>test in R if the partial spectral coherence between two variables is 
>zero? The functions I know (spectrum, etc.) only work to estimate the 
>spectral coherence.
>(2) For some causality analysis I need an estimate of the 
>inverse of the 
>spectral density matrix of a multivariate time series. Is there any 
>possibility in R to get this? Actually, I would be happy if I could at 
>least get a functional estimate of the spectral density 
>matrix. I guess 
>this should work because R can plot the kernel density 
>estimator of the 
>spectral density, so it should be possible to extract the underlying 
>function estimate.
>(3) Is there any possibility to do Granger Causality in R? That means 
>fitting an VAR model and testing if some coefficients are zero.
>Thank you very much in advance!
>Best Regards,
>R-help at r-project.org mailing list
>PLEASE do read the posting guide 
>and provide commented, minimal, self-contained, reproducible code.
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