Granger Tests packages


I searched for packages containing implementations for Grangertests, specifically rolling grangertests? Please close if package questions are not allowed or wanted.


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There’s also the magic use

grangertest in r

as the search term and it will pull up the link @jrkrideau gave and other useful links.

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This is so helpful ! Thanks

Implementations like: Boostrap rolling window Granger causality tests have no appropriate library in R at the moment correct?

Not necessarily. plm:: pgrangertest implements the Dumitrescu/Hurlin Panel Granger (Non-)Causality Test. In econospeak panel is what the rest of us think of as time series. A key problem in time series analysis is temporal autocorrelation and the usage equivalent to rolling window is termed “lag.”

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Thank you so much! I just started to read the associated paper.