Re: [Gretl-users] Estimating Toda Yamamoto Causality Model
Am 23.10.2018 um 10:40 schrieb Riccardo (Jack) Lucchetti:
On Tue, 23 Oct 2018, Yusuf Abduwahab Hassan wrote:
>
> can i add extra lags and interpret my results as using the Toda Yamamoto
> approach to causality testing?
In fact, it's only a little bit more complicated than that: you have
to add one lag and then carry out the test on the "true" parameter
order. For example:
BTW, in the graphical interface you would probably just use OLS on the
equation of interest, because there you can easily specify the test for
omitting the first p lags. In the VAR GUI I don't see how one would do it.
cheers,
sven
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