The RATS Software Forum

Tom,

thank you very much!! I will read your paper ..

By the way, I found you about "Granger Causally Prior" on Chris Sims's website:

http://sims.princeton.edu/yftp/Times05/GCP05.pdf

..."This result was first obtained in unpublished work by
Thomas Doan."

Hello Tom, I really appreciate your help. This subject is quite new (ie. the papers are not too old) and I am not sure now whether there is a point in going deeper into it or not.. As your paper has not been published, you might not want to put it on the web, but maybe you could send me a longer abs...

Thanks for replying me that quickly! As I am unable to read your paper I can post two papers: -J.-M. Dufour, A. Taamouti / Journal of Econometrics 154 (2010) 4258: Short and long run causality measures: Theory and inference and -M. Eichler / Journal of Econometrics 137 (2007) 334–353: Granger causal...

Hello, I need to test for Granger-Causality in a multivariate (ie. not just in a biariate) VAR. Lütkepohl (2005, New Introduction to Multiple Time Series, p.49 and 50), Dufour and Renault (2010, Short and long run causality measures: Theory and inference) point out that normal Granger-Causality test...