Re: [Gretl-users] New Windows snapshot - Again....
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