Granger Causality in the Vector Error Correction Model (VECM)

General
#1

Hi All,

Can anyone tell me the R Package and code for testing Granger Causality test among two cointegrated variables , that is, in the VECM model. I only know the procedure for testing Granger Causality in VAR model (i.e when there is no cointegration)

Kind regards.

#2

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