Re: [Gretl-users] Granger Causality Test
On Thu, 5 Aug 2010, Sven Schreiber wrote:
Am 05.08.2010 18:08, schrieb Carlos Manuel Gratereaux Hernández:
> I am a teacher of Basic Econometric at UASD of Dominican Repúblic. Last
> class I was working about Granger Causality Test with my students. I had
> to use another econometric software because i didn't find this test in
> windows language GRETL. How can I do it in GRETL?
IIRC it appears automatically in the output if you estimate the
corresponding VAR. Some time ago the buzzword "Granger causality" did
not appear in the output, but it was just that test. An explanatory
remark may have been added in the meantime, I don't have time right now
to verify.
No, it hasn't been added. The current output looks like this
(for an equation where QNC is the dependent variable):
F-tests of zero restrictions:
All lags of QNC F(4, 47) = 14.868 [0.0000]
All lags of PRICE F(4, 47) = 2.0829 [0.0980]
All lags of INCOME F(4, 47) = 4.3412 [0.0045]
All vars, lag 4 F(3, 47) = 11.755 [0.0000]
The middle two F-tests (only) are Granger causality tests. Putting
the buzzword in would require some reorganization. Dos anyone have
a suggestion (if it's worth doing)?
Allin Cottrell