Demographic data and Granger causality using R package{vars} ―by Hyndman's method―

Abstract

When dealing with the prediction of demographic data of multiple time series, the relationship between multiple time series data can be examined using the VAR model. In this paper, the Granger causality is examined using the package {vars} of R. At this time, the calculation becomes easy by using the Hyndman method. Here, in Examples 1 and 2, the results of predictions of demographic data considering Granger causality are shown, respectively.