Thanks for your quick response. I can see the f-stats in the output that are the GC test, but I would like to collect the test statistic in a matrix for further formatting. In a single equation model I would use

 

matrix matFSTAT = $Fstat

 

I am running several VAR’s in a loop and need to store only these f-stats. My question is only about storing this stat after running var. Any suggestions?

 

From: gretl-users-bounces@lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Gabriela Nodari
Sent: Monday, July 15, 2013 10:49 AM
To: Gretl list
Subject: Re: [Gretl-users] VAR/Granger Causality

 

Dear Logan, 

 

GRETL automatically computes Granger causality tests. As stated in the guide: "For each variable in the system an F test is automatically performed, in which the null hypothesis is that no lags of variable j are significant in the equation for variable i. This is commonly known as a Granger causality test". Moreover, there is a short video explaining that on youtube: http://www.youtube.com/watch?v=ON5pJ8xd3E4

 

Gabriela

 

On Mon, Jul 15, 2013 at 5:38 PM, Logan Kelly <logan.kelly@uwrf.edu> wrote:

Hello,

 

I would like to access the Granger Causality stats after running var. I am using Gretl 1.9.12cvs. I would like to do something like

 

matrix matFSTAT = $Fstat

 

which of course does not work but this is the idea of what I need. Is there an easy way to do this?


_______________________________________________
Gretl-users mailing list
Gretl-users@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users