Dear R Community,
I am currently student at the Vienna University of Technology writing my
Diploma thesis on causality in time series and doing some analyses of
time series in R. I have the following questions:
(1) Is there a function in R to estimate the PARTIAL spectral coherence
of a multivariate time series? If yes, how does this work? Is there an
test in R if the partial spectral coherence between two variables is
zero? The functions I know (spectrum, etc.) only work to estimate the
spectral coherence.
(2) For some causality analysis I need an estimate of the inverse of the
spectral density matrix of a multivariate time series. Is there any
possibility in R to get this? Actually, I would be happy if I could at
least get a functional estimate of the spectral density matrix. I guess
this should work because R can plot the kernel density estimator of the
spectral density, so it should be possible to extract the underlying
function estimate.
(3) Is there any possibility to do Granger Causality in R? That means
fitting an VAR model and testing if some coefficients are zero.
Thank you very much in advance!
Best Regards,
Alexander
T
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