[R] Rolling Granger Causality

[Syed Jawad Hussain Shahzad]

I am using MSBVAR package in R, and have used the following codes:

library("MSBVAR")
data(IsraelPalestineConflict)
granger.test.c <- function(x) c(granger.test(x, p = 6))
aa<-rollapplyr(IsraelPalestineConflict, 1275, granger.test.c,
by.column = FALSE )

In rollapply, the width is 1275 (data contains total 1278
observations) and hence i have four rolls. In granger.test.c the lag
order "p" is fixed at 6. I want to use a changing "p" for each roll
using R object "p<-c(3,4,5,6)".

Help is requested, please.

Best
Jawad