Pode ajudar..... http://en.wikipedia.org/wiki/Granger_causality Here is an example of the function grangertest() in the lmtest library of the R software: Granger causality test Model 1: fii ~ Lags(fii, 1:5) + Lags(rM, 1:5) Model 2: fii ~ Lags(fii, 1:5) Res.Df Df F Pr(>F) 1 629 2 634 5 2.5115 0.02896 * --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Granger causality test Model 1: rM ~ Lags(rM, 1:5) + Lags(fii, 1:5) Model 2: rM ~ Lags(rM, 1:5) Res.Df Df F Pr(>F) 1 629 2 634 5 1.1804 0.3172 2012/5/22 Marcelo Zeuli <m_zeuli@yahoo.com>:
Bom dia, qual é o pacote mais adequado para teste de causalidade de granger?
o FIAR?
********************************************* Type Package Title Functional Integration Analysis in R Version 0.4 Date 2011-04-01 Author Bjorn Roelstraete Maintainer Bjorn Roelstraete <Bjorn.Roelstraete@ugent.be> Description Contains DCM, (autoregressive) SEM, and multivariate Granger causality tests for analyzing fMRI connectivity data. Depends R (>= 2.11.1),lavaan(>= 0.4-7),Matrix,boot,accuracy,np
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Grato,
Marcelo Zeuli
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-- Luis Iván Ortiz Valencia Doutorando Saúde Pública - Epidemiologia, IESC, UFRJ Estatístico Msc. Spatial Analyst Msc.