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

Am 19.04.2023 um 18:57 schrieb JOSE FRANCISCO PERLES RIBES: 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