The R code for estimating a VAR-LiNGAM (Vector Autoregressive Linear Non-Gaussian Acyclic Model) is provided on this page. It can be used to estimate such a model from own data. Sample applications on economic data using this code were given in the paper A. Moneta, D. Entner, P.O. Hoyer, and A. Coad; Causal Inference by Independent Component Analysis: Theory and Applications (OBES 2013).
Software package: [zip - R-code]
Further literature on the method:
A. Hyvärinen, K. Zhang, S. Shimizu, and P.O. Hoyer (2010)
Estimation of a Structural Vector Autoregression Model Using Non-Gaussianity. Journal of Machine Learning Research, 11, 1709-1731.
S. Shimizu, P.O. Hoyer, A. Hyvärinen, and A.J. Kerminen (2006)
A linear non-gaussian acyclic model for causal discovery. Journal of Machine Learning Research, 7, 2003-2030.
Note: The above paper refers to the website "http://www.cs.helsinki.fi/u/entner/VARLiNGAM/" (which no longer exists). The content on this website is identical.