Re: [Gretl-users] New Windows snapshot - Again....
Hmm...I saw omitting endogenous variables in PcGive. It is possibile. These
are so called Exclusion restrictions and all variables in VAR can be tested.
You can test all the variables in VAR using F test but Exclusion
restrictions are done via Subset Chi^2 (square) test and you can test
endogenous, deterministics and exogenous variables.
Are Granger tests doable for VECMs ? As tere are no F tests in VECM
output. (my question excludes testing beta)
In previous posts I was talking about VAR/VECM confidence intervals. They
are set as default in plot console to be errorbars and this can't be
changed. Is it possible to activate this option so user can set it freely
for example to be lines?
Thanx
John
From: "Riccardo Jack" Lucchetti""
<r.lucchetti(a)univpm.it>
Reply-To: r.lucchetti(a)univpm.it, Gretl list
<gretl-users(a)ricardo.ecn.wfu.edu>
To: "Gretl list" <gretl-users(a)ricardo.ecn.wfu.edu>
Subject: Re: [Gretl-users] New Windows snapshot - Again....
Date: Tue, 31 Jan 2006 19:44:01 +0100 (CET)
On Tue, January 31, 2006 19:27, john w wrote:
> I use Windows version if this can help you.
>
> Yes, that's it Allin!
> "Omit" variables is the solution. But why not to extend it on endogenous
> variables too!? (Plus deterministics and exogenous variables). This will
be
> just perfect!
>
Hmm.. generalising here is tricky. If you omit SOME lags from a VAR, then
you
lose the justification for estimating it via OLS, because if the regressors
vary across equations you should use SUR (that gretl provides, by the way)
instead. So I think endogenous variables should be left alone.
> Also, I think that this is possible for VECMs too.
>
> As we are talking about causalities, one of the possible feature could
be
> the possibility to test Granger causality (block and bivariate or
pairwise).
> What do you think?
You've already got that: the F-tests under the individual regressions are
precisely Granger-causality tests.
--
Riccardo "Jack" Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona
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