i have the following model:
model1 = VAR(data.frame(diff(log(p1)), diff(log(p2)), diff(log(p3)), diff(log(p4))), type="const", lag.max=2, ic="AIC")
this model is composed of 4 variables and I want to test the causality effect of the second variable diff(log(p2)) on the model .
the code : causality( model1) shows only the causality effect of the first variable diff(log(p1)).
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