[R] Spectral Analysis of Time Series in R

Alexander Schnebel alexanderschnebel at hotmail.com
Wed Dec 3 15:41:58 CET 2008

Dear R Community,

I am currently student at the Vienna University of Technology writing my 
Diploma thesis on causality in time series and doing some analyses of 
time series in R. I have the following questions:

(1) Is there a function in R to estimate the PARTIAL spectral coherence 
of a multivariate time series? If yes, how does this work? Is there an 
test in R if the partial spectral coherence between two variables is 
zero? The functions I know (spectrum, etc.) only work to estimate the 
spectral coherence.

(2) For some causality analysis I need an estimate of the inverse of the 
spectral density matrix of a multivariate time series. Is there any 
possibility in R to get this? Actually, I would be happy if I could at 
least get a functional estimate of the spectral density matrix. I guess 
this should work because R can plot the kernel density estimator of the 
spectral density, so it should be possible to extract the underlying 
function estimate.

(3) Is there any possibility to do Granger Causality in R? That means 
fitting an VAR model and testing if some coefficients are zero.

Thank you very much in advance!

Best Regards,

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