Does anyone know if the short run and long run causality tests developed by Dufour JM, Renault E (1998) Short-run and long-run causality in time series: theory. Econometrica 66(5):1099–1125 and Dufour JM, Pelletier D, Renault E (2006) Short run and long run causality in time series: inference. J Econom 132:337–362 are available in R?
I failed to find any packages mentioning them and could not find any user-contributed scripts to run them either.
I asked about statistical tests that as far as I know are not available in any of the libraries.
I expect to get either a confirmation that this is the case or a pointer to a library or a user-provided script that can run these tests.