Re: [Gretl-users] Granger causality test in Gretl
On Thu, 3 Mar 2016, ?????? wrote:
Sorry to bother you. I am a student from Nanjing Agriculture
University China.
For my dissertation purpose I need to run Granger Causality tests using
Gretl. I am using time series data, would you mind giving me some advice
on the following questions:
For everybody knows, Granger test is conducted in the framework of a
vector autoregression (VAR).But Granger causality tests are not provided
among the menu in gretl when I estimated a VAR, so how to run Granger
Causality in Gretl?
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>
HTH,
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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