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

-----Urspr?ngliche 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

______________________________________________

R-help at r-project.org mailing list

https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide

http://www.R-project.org/posting-guide.htmland provide commented, minimal, self-contained, reproducible code.

*****************************************************************

Confidentiality Note: The information contained in this ...{{dropped:10}}