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?