Re: [R] Multivariate Granger Causality Tests

2011-03-03 Thread Frank Harrell
Beware that causality can only be inferred using information that extends far beyond the data at hand. Frank - Frank Harrell Department of Biostatistics, Vanderbilt University -- View this message in context: http://r.789695.n4.nabble.com/Multivariate-Granger-Causality-Tests-tp3332968p65

Re: [R] Multivariate Granger Causality Tests

2011-03-03 Thread Pfaff, Bernhard Dr.
t; An: r-help@r-project.org > Betreff: [R] Multivariate Granger Causality Tests > > Dear Community, > > For my masters thesis I need to perform a multivariate > granger causality test. I have found a code for bivariate > testing on this page > (http://www.econ.uiuc.edu/~econ472

[R] Multivariate Granger Causality Tests

2011-03-03 Thread hazzard
Dear Community, For my masters thesis I need to perform a multivariate granger causality test. I have found a code for bivariate testing on this page (http://www.econ.uiuc.edu/~econ472/granger.R.txt), which I think would not be useful for the multivariate case. Does anybody know a code for a multi

[R] multivariate Granger causality

2010-05-14 Thread Elena Khramtsova
Hi, 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 th