thank you so much! I will have to run a script, if I read it correctly. I will have fun with this. 

Thanks.

On Wed, Sep 15, 2010 at 10:58 AM, Allin Cottrell <cottrell@wfu.edu> wrote:
On Wed, 15 Sep 2010, Claudio wrote:

> This is a stupid question: how to perform a Granger-Sims
> causality in R?

I presume you mean, in gretl.

> The GS causality test is like the Granger causality, but
> includes not only lags, but also leads of the variable...

As Sims (1972) puts it, "If and only if causality runs one way
from current and past values of some list of exogenous variables
to a given endogenous variable, then in a regression of the
endogenous variable on past, current and future values of the
exogenous variables, the future values of the exogenous variables
should have zero coefficients."

You can't specify leads (negative lags) with gretl's VAR command,
but VARs are just estimated via OLS so you can easily do this in
gretl. Here, for example, is a Sims test for one-way causality of
US car sales (QNC) by US consumers' income (INCOME):

open data9-7
list Xlags = INCOME(-1 to -4)
list Xleads = INCOME(+1 to +4)
ols QNC 0 Xlags INCOME Xleads
omit Xleads --quiet

"omit" gives F(4,46) = 0.263 with p-value 0.90, so the hypothesis
of one-way causality (all the leads of INCOME have zero
coefficients) is not rejected.

Allin Cottrell
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