Say I have some trivariate model with variables X, Y, Z. Now I want to know if X granger causes Y. To do this test I have used the causality() function in library(vars). This however does not test if X granger causes Y, but it can check if X granger causes Y and Z or if X and Z granger cause Y. So the output method is:

Granger causality H0: X Z do not Granger-cause Y


Granger causality H0: X do not Granger-cause Y Z

A problem is probably that this method does it this way to calculate a simpler test statistic. Now I also checked out the grangertest function in library(imtest). This method does sadly only work for bivariate or univariate models.

Do you know what function to use to test if X causes Y?


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