Dear R-users,
I am trying to compute the test statistics for Granger-causality for a VAR(p)
model using the "vars" package. I simply used the example proposed by the vars
vignette and added the code for the Granger-causality. The code looks as follows
library(vars)
Canada<-Canada[, c("prod", "e", "U", "rw")]
p1ct<-VAR(Canada, p=1, type = "both")
causality(p1ct, cause = c("prod","e","U","rw"))
Unfortunately I get the error
Error in `[<-`(`*tmp*`, i, w[i], value = 1) : subscript out of bounds
Does any body know what is wrong with the code? I would like to create a matrix
containing the F-values and the corresponding significance. How can I do that?
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