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 the variables in the VAR model, but this is
not exactly what I want to do. The other causality tests that I saw
performed bivariate Granger causality.
Also, is there a way to do the same for instantaneous causality?
Thank you very much!!!
Elena
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