Re: [R] Granger Causality in a VAR Model

From: Pfaff, Bernhard Dr. <Bernhard_Pfaff_at_fra.invesco.com>
Date: Tue, 05 Apr 2011 09:11:12 +0100

The below email was cross-posted to R-Sig-Finance and has been answered there.

> -----Ursprüngliche Nachricht-----
> Von: r-help-bounces_at_r-project.org
> [mailto:r-help-bounces_at_r-project.org] Im Auftrag von ivan
> Gesendet: Montag, 4. April 2011 20:24
> An: r-help_at_r-project.org
> Betreff: [R] Granger Causality in a VAR Model
>
> 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
>
> ______________________________________________
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> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>



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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. Received on Tue 05 Apr 2011 - 08:22:01 GMT

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