Automatic pairwise Granger causality tests
Posted: Thu Jan 26, 2012 2:23 am
Hi everyone,
as part of a research project at my university, I have to analyze correlations between the weekly prices of 32 crude oils.
The process involves running a var (with a standard value of 12) and in a second step running the granger causality test.
Given the high number of crude oils, this involves (32*31)/2 calculations. Is there any way to run this automatically ?
Any help is very highly appreciated!
as part of a research project at my university, I have to analyze correlations between the weekly prices of 32 crude oils.
The process involves running a var (with a standard value of 12) and in a second step running the granger causality test.
Given the high number of crude oils, this involves (32*31)/2 calculations. Is there any way to run this automatically ?
Any help is very highly appreciated!