A code package, which implements the tsFCI algorithm introduced in the paper D. Entner, and P. O. Hoyer (2010). On causal discovery from time series data using FCI (PGM2010), is provided to (a) reproduce the results of the simulation section of the above paper and (b) apply the method to own data. Note that the code was only tested in Linux.
The tsFCI algorithm is an extension of the FCI (Fast Causal Infernece) algorithm (P. Spirtes, C. Glymour and R. Scheines, 2000, Causation, Prediction, and Search. MIT Press, 2nd edition) to time series data.
Software
The code consists of several parts (most of which are only needed for the simulations), and is based on TETRAD version 4.3.9-18, see the TETRAD homepage.
Note: The above paper refers to the website "http://www.cs.helsinki.fi/u/entner/tsfci/" (which no longer exists). The content on this website is identical.