[R] multivariate Granger causality

Elena Khramtsova 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 
VAR model.
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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