Re: [Gretl-users] Granger Causality via menu?
On Thu, 21 Apr 2016, Wingenroth, Thorsten wrote:
is it possible to call the Granger Causality test (GC) via the
menu? I tried with Model/Time Series/Vector autoregression but
there are no lags for the exogenous variable (and they cannot be
specified, the button is gray).
There appears to be a little glitch here. If you select one or more
exogenous variables from scratch in the VAR dialog, the "lags..."
button becomes active. If you are revisiting the VAR dialog after
estimating a VAR already, first empty the "Exogenous variables" box
then select one or more variables for inclusion, and the "lags..."
button will light up again. (This should not be necessary, I'll try
to see what's going on here.)
Calling GC in Hansl with the var command works perfectly in
contrast.
In short: Is this a bug or a feature ;-) ?
The GC test is just an F-test on lags of the candidate variable (in
the presence of lags of the "target" variable). In the GUI, use
/Tests/Omit exogenous variables.
Allin Cottrell