[R] multivariate Granger causality
elenast at eden.rutgers.edu
Fri May 14 16:01:11 CEST 2010
I have a time series vector of 5 variables: a, b, c, d, and e. I would
like to test if (a and b) Granger cause c. I want to keep d and e in the
Is there a preprogrammed way to do it?
The causality function in the vars package allows to test whether
(a and b) cause the rest of the variables in the VAR model, but this is
not exactly what I want to do. The other causality tests that I saw
performed bivariate Granger causality.
Also, is there a way to do the same for instantaneous causality?
Thank you very much!!!
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