Dear Community, I am new to R and have a question concerning the causality () test in the vars package. I need to test whether, say, the variable y Granger causes the variable x, given z as a control variable.
I estimated the VAR model as follows: >model<-VAR(cbind(x,y,z),p=2) Then I did the following: >causality(model, cause="y"). I thing this tests the Granger causality of y on the vector (x,z), though. How can I implement the test for y causing x controlled for z? Thus, the F-test comparing the two models M1:x~lagged(x)+lagged(z) and M2:x~lagged(x)+lagged(y)+lagged(z)? Thank you in advance. Best Regards ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
