Hi
I am trying to compute the Granger causality test using the Vector Error
Correction Model (VECM) in R. I calculated the VECM in R using tsDyn package.
Since I have I(1) and cointegrated variables, VECM is assumed to implement the
Granger causality test. However I didn't find any function in R, that could
perform the Granger Granger causality test for VECM. I would like to ask You,
whether someone does know such a function. Here is my example:
ols.est <- dynlm(ts_ln.API.real.1~ts_MR.var.nom.1+L(d(ts_MR.var.nom.1), -3:3))
# Estimate θ with DOLS
est.theta <- dols.est$coefficients[2]
int.mts <- ts.union(ts_ln.API.real.1, ts_MR.var.nom.1) # Create a multivariate
time series
VEC.est <- VECM(int.mts, lag=1, r=1, include = c("both"), beta = est. theta)
Any help will be greatly appreciated. Thank You in advance!
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