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Published June 2, 2026 | Version v1.0.0
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tvgc: Time-Varying Granger Causality Test in R

Authors/Creators

  • 1. CONHACYT - Universidad de Guadalajara

Description

R implementation of the time-varying Granger causality (TVGC) test proposed by Shi, Hurn & Phillips (2020), based on the lag-augmented VAR framework of Toda & Yamamoto (1995) and Dolado & Lütkepohl (1996).

Files

emmanuel-anguianopita/Time-Varying-Granger-Causality_R-v1.0.0.zip

Files (52.0 kB)

Additional details

Related works

Is supplement to
Software: https://github.com/emmanuel-anguianopita/Time-Varying-Granger-Causality_R/tree/v1.0.0 (URL)

Dates

Created
2026-02-06

Software

Repository URL
https://github.com/emmanuel-anguianopita/Time-Varying-Granger-Causality_R