Re: [Gretl-users] Granger Causality Test
Carlos,
Sven's right -- if you estimate a VAR the output includes "F-tests of zero
restrictions" for each equation. It's not labeled 'granger causality,'
but that's what it is. For a non-VAR, say a distributed lag model, you can do a
similar F-test in the model window (Tests -> Omit variables).
PS
-----Original Message-----
From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On
Behalf Of Sven Schreiber
Sent: Thursday, August 05, 2010 11:29 AM
To: Gretl list
Cc: Carlos Manuel Gratereaux Hernández
Subject: Re: [Gretl-users] Granger Causality Test
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.
cheers,
sven
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