implementation of Granger causality tests in Mathematica
- To: mathgroup at smc.vnet.net
- Subject: [mg63992] implementation of Granger causality tests in Mathematica
- From: "Johann Gevers" <johann at gevers.net>
- Date: Thu, 26 Jan 2006 03:43:41 -0500 (EST)
- Sender: owner-wri-mathgroup at wolfram.com
Hi, I would like to know how to implement Granger causality tests http://en.wikipedia.org/wiki/Granger_causality) in Mathematica. If someone knows of an existing implementation, I would very much appreciate either the code, or a link where I can download it. I did a fairly thorough internet search (including the Wolfram sites), but came up with nothing. However, several academic research papers mention using Mathematica to test for Granger causality, so implementations do exist. (I did not receive a response from those researchers who I emailed about this.) Standard econometric software packages include Granger causality tests, but I prefer working in a Mathematica environment. Thank you. Johann