I would like to estimate bivariate VAR(X) models where I don't know the optimal lag length X and would also like to use F-tests to determine the granger causality of each of the variables. I'm aware of Achim's econometric packages description but I was wondering if someone could recommend a specific R econometrics package that does this.
If it is recommended to use the sort of ideas that Bernard Pfaff gives in his yellow cointegration book, then that's fine also. Thanks a lot -------------------------------------------------------- This is not an offer (or solicitation of an offer) to buy/se...{{dropped}} ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.