Re: [Gretl-users] retrieving F-stat and p-value from a VAR system
On Mon, 8 Jul 2013, Allin Cottrell wrote:
On Tue, 9 Jul 2013, cociuba mihai wrote:
> I'm testing Granger causality between inflation and inflation uncertainty
> for 15 countries and I would like to retrieve the result of the Wald
> test...
What Wald test? (That is, for what null hypothesis?)
OK, in fact clear enough from context. Trivial example of what I
described in my previous posting:
<hansl>
open data9-7
scalar p = 4
var p PRIME UNEMP
list RHS = const PRIME(-1 to -p) UNEMP(-1 to -p)
# first equation: does UNEMP Granger-cause PRIME?
ols PRIME RHS --quiet
omit UNEMP(-1 to -p) --quiet --test-only
eval $test
eval $pvalue
# second equation: does PRIME Granger-cause UNEMP?
ols UNEMP RHS --quiet
omit PRIME(-1 to -p) --quiet --test-only
eval $test
eval $pvalue
</hansl>
Allin Cottrell