[R] Time series analysis: Granger causality with error-correction term

John mi@ojpm @ending from gm@il@com
Tue Aug 21 10:48:54 CEST 2018


   Which package/function do you recommend for Granger causality between x
and y with an error correction term?

   In my problem, economic theory maintains that x~ I(1); y~I(1), x-y ~I(0)

\Delta x_t = g_0 + \lambda_{x}(x_{t-1}-y_{t-1})+\sum_{k=1}^{n}g_{1k}\Delta
x_{t-s}+\sum_{k=1}^{n}g_{2k}\Delta y_{t-s}+\epsilon_{1t}  \\
\Delta y_t = g_0 + \lambda_{y}(x_{t-1}-y_{t-1})+\sum_{k=1}^{n}g_{3k}\Delta
x_{t-s}+\sum_{k=1}^{n}g_{4k}\Delta y_{t-s}+\epsilon_{2t}

   I am not sure if it would work if I run Granger causality between \Delta
x and \Delta y, treating the error correction term (x_{t-1}-y_{t-1}) and
exogenous variable.

   Thank you very much!!


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