If I want to test if X Granger-cause Y, both should be endogenous a priori. You test if X or Y is &quot;weak exogenous&quot;, for example, testing for the coefficient of the ECM. You probably should read more about it in, e.g., Enders (2004) or other good time series textbook. <div>

<br></div><div>Best Wishes,</div><div><br></div><div>Claudio D. Shikida</div><div class="gmail_extra"><br clear="all"><div><br></div><div>Obrigado por seu tempo e atenção!</div><div><br></div><div>Claudio D. Shikida</div>

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<br><br><div class="gmail_quote">On Wed, Oct 31, 2012 at 4:11 PM, 佃鹏 于 <span dir="ltr">&lt;<a href="mailto:dianpenginuk@live.cn" target="_blank">dianpenginuk@live.cn</a>&gt;</span> wrote:<br><blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex">




<div><div dir="ltr">
Hi, Gretl team, <div><br></div><div>I have run the Granger Causality in Gretl using VAR, after that I found there are unit roots in variables. So I changed to VECM model to test the causality between variables for example in following equation: Y =X1+X2+X3. I input Y as endogenous variable and X1 X2 X3 as exogeous variables. But the results didn&#39;t come up, it shows “You must select two or more endogenous variables” But in the original regression equation only Y is endogenous variable. why it shows that?</div>

<div><br></div><div>Does it make any difference for the results of Granger Causality if there are unit roots in variables? what should I avoid them instead of  using VECM in Gretl? </div><div><br></div><div>Thank you for your time </div>

<div>Dianpeng YU </div><div><br></div><div><br></div><div><br></div> 		 	   		  </div></div>
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