Re: [Gretl-devel] Granger causality
On Mon, 16 Nov 2009, Sven Schreiber wrote:
I think gretl could use Granger causality tests (in a standard VAR
framework). Actually I am going to upload a function package "real soon
now" that does frequency-specific Granger causality tests (Breitung &
Candelon 2006 Journal of Econometrics).
Sounds good! We do, however, have the basic Granger tests as part
of the default VAR output (i.e. F-tests on all lags of each of the
regressors).
Allin.