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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