Today just gets better and better!
I had an email this morning from Christoph Pfeiffer, who follows this blog. Christoph has put together some nice R code that implements the Toda-Yamamoto method for testing for Granger causality in the context of non-stationary time-series data.
Given the ongoing interest in the various posts I have had (here, here, here & here) on testing for Granger causality, I'm sure that Christoph's code will be of great interest to a lot of readers.
Thanks for sharing this with us, Christoph.
© 2012, David E. Giles