[Gretl-users] Re: Help VEC Granger Causality Test/ Block Exogeneity Wald Test

El 19 abr 2023, a las 19:19, Sven Schreiber <sven.schreiber(a)fu-berlin.de&gt; escribió:  Am 19.04.2023 um 18:57 schrieb JOSE FRANCISCO PERLES RIBES: > Dear Nikola: > > I'm not sure, but probably it would be possible to test for non-Granger causality test as David Giles explains for Eviews using your option VEC Granger Causality Test/ Block Exogeneity Wald Test with the VAR options in Gretl. > > https://davegiles.blogspot.com/2011/04/testing-for-granger-causality.html > Hi José, this is an interesting idea (declaring the p+1-th lag as an exogenous variable) - but first it didn't work for me, because gretl is apparently "too clever" with its lag handling and doesn't directly allow you to put a lag of an endogenous variable into the list of exogenous ones. However, what did work is to manually create an extra list before running the VAR. Example in script form: <hansl> open denmark order = 4 # let's assume this is correct list endogenous = LRM LRY IBO # just an arbitrary example list extralag = lags({order+1}, endogenous) # note the curly braces var order endogenous ; extralag </hansl> And then you have your relevant and appropriate Granger test results in the standard VAR output indeed. The same thing can be achieved via the menus. thanks sven _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/