This is a stupid question: how to perform a Granger-Sims causality in R?<div><br></div><div>The GS causality test is like the Granger causality, but includes not only lags, but also leads of the variable. For example:</div>

<div><br></div><div>Yt = f( lags X, leads X).</div><div><br></div><div>I tried to create a Y(+1) in gretl and it was ok (except the name, which was Y(-1), but the time series was ok). However, in VAR windows, I cannot put it as a new variable (and neither can I put an AR(-1) instead of an AR(1)). I presume I will have to create the series somewhere, in a spreadsheet for example, and then go for it in Gretl.</div>

<div><br></div><div>So, this is just to ask if there is another way to do so.</div><div><br></div><div>Thank you a lot.</div><div><br></div><div>Claudio</div><div><div class="gmail_quote"><blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex;">

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