Re: [Gretl-users] Granger causality test in Gretl
Am 03.03.2016 um 07:57 schrieb Riccardo (Jack) Lucchetti:
GC tests or each variable are reported under the corresponding OLS
regression; for example, if you run the code
<hansl>
open sw_ch14.gdt --quiet
series infl = 100*ldiff(PUNEW)
var 3 LHUR infl
</hansl>
you'll see the 4 GC tests as
<output>
All lags of LHUR F(3, 153) = 1668.1 [0.0000]
All lags of infl F(3, 153) = 9.5329 [0.0000]
...
All lags of LHUR F(3, 153) = 15.315 [0.0000]
All lags of infl F(3, 153) = 220.96 [0.0000]
</output>
Of course, just 2 of the 4 are really Granger causality tests...
Actually it's not obvious why you want to test the exclusion of lagged
x-es in the x equation. Perhaps that line could even be removed from the
output, and then the explicit label of "Granger causality" could be
introduced.
cheers,
sven