Dear all,
I am trying to compute the pairwise Dumitrescu-Hurlin test (a
Granger-causality test for panel data) in gretl.
In order to do this, after having run a separate:
var # y1 y2
one for each cross-sectional unit in the panel, I need to retrieve the
value of the F-test for the null hypothesis that no lags of variable y2
(y1) are significant in the equation for variable y1 (y2).
gretl computes these Granger causality tests and shows them by default
after the command "var", but it seems that this value isn't stored in
any accessor...
Is there an easy way to retrieve it?
Thanks a lot :)
Giuseppe