Re: [Gretl-users] Granger causality test in Gretl
On Thu, 3 Mar 2016, Sven Schreiber wrote:
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...
At the risk of being pedantic: it's perfectly possible for a variable to
be Granger-noncausal for itself, so I would say those are 4 legit GC
tests.
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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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