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
>
>
> **********************************************************
>
> Grato,
>
> Marcelo Zeuli
>
>
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--
Luis Iván Ortiz Valencia
Doutorando Saúde Pública - Epidemiologia, IESC, UFRJ
Estatístico Msc.
Spatial Analyst Msc.