12:08 p.m.
I am a teacher of Basic Econometric at UASD of Dominican Repúblic. Last
class I was working about Granger Causality Test with my students. I had to
use another econometric software because i didn't find this test in windows
language GRETL. How can I do it in GRETL?
Thanks.
2010/8/5 <gretl-users-request(a)lists.wfu.edu>
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Today's Topics:
1. Re: Changing language (Greg Satell)
----------------------------------------------------------------------
Message: 1
Date: Thu, 5 Aug 2010 10:27:50 +0300
From: "Greg Satell" <gregs(a)optimedia-tr.com>
Subject: Re: [Gretl-users] Changing language
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Message-ID:
<CF6851525A506047B4198E9F1824DD36800D52(a)ExchSrv.equinox-tr.local>
Content-Type: text/plain; charset="us-ascii"
Thx. I got it now!
- Greg
From: gretl-users-bounces(a)lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Henrique Andrade
Sent: Wednesday, August 04, 2010 3:45 PM
To: Gretl list
Subject: Re: [Gretl-users] Changing language
Em 4 de agosto de 2010 Greg Satell <gregs(a)optimedia-tr.com> escreveu:
Thx. I'll try it once I get someone who speaks Turkish to come
and find tools for me. I'll let you know how it goes.
Dear Greg, please take a look at the .jpg files I'd attached in this
e-mail. The images explain how to change language from Turkish to
English.
Best,
Henrique
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12:29 p.m.
Am 05.08.2010 18:08, schrieb Carlos Manuel Gratereaux Hernández:
I am a teacher of Basic Econometric at UASD of Dominican Repúblic.
Last
class I was working about Granger Causality Test with my students. I had
to use another econometric software because i didn't find this test in
windows language GRETL. How can I do it in GRETL?
IIRC it appears automatically in the output if you estimate the
corresponding VAR. Some time ago the buzzword "Granger causality" did
not appear in the output, but it was just that test. An explanatory
remark may have been added in the meantime, I don't have time right now
to verify.
cheers,
sven
12:55 p.m.
Carlos,
Sven's right -- if you estimate a VAR the output includes "F-tests of zero
restrictions" for each equation. It's not labeled 'granger causality,'
but that's what it is. For a non-VAR, say a distributed lag model, you can do a
similar F-test in the model window (Tests -> Omit variables).
PS
-----Original Message-----
From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On
Behalf Of Sven Schreiber
Sent: Thursday, August 05, 2010 11:29 AM
To: Gretl list
Cc: Carlos Manuel Gratereaux Hernández
Subject: Re: [Gretl-users] Granger Causality Test
Am 05.08.2010 18:08, schrieb Carlos Manuel Gratereaux Hernández:
I am a teacher of Basic Econometric at UASD of Dominican Repúblic.
Last
class I was working about Granger Causality Test with my students. I had
to use another econometric software because i didn't find this test in
windows language GRETL. How can I do it in GRETL?
IIRC it appears automatically in the output if you estimate the
corresponding VAR. Some time ago the buzzword "Granger causality" did
not appear in the output, but it was just that test. An explanatory
remark may have been added in the meantime, I don't have time right now
to verify.
cheers,
sven
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3:17 p.m.
On Thu, 5 Aug 2010, Sven Schreiber wrote:
Am 05.08.2010 18:08, schrieb Carlos Manuel Gratereaux Hernández:
> I am a teacher of Basic Econometric at UASD of Dominican Repúblic. Last
> class I was working about Granger Causality Test with my students. I had
> to use another econometric software because i didn't find this test in
> windows language GRETL. How can I do it in GRETL?
IIRC it appears automatically in the output if you estimate the
corresponding VAR. Some time ago the buzzword "Granger causality" did
not appear in the output, but it was just that test. An explanatory
remark may have been added in the meantime, I don't have time right now
to verify.
No, it hasn't been added. The current output looks like this
(for an equation where QNC is the dependent variable):
F-tests of zero restrictions:
All lags of QNC F(4, 47) = 14.868 [0.0000]
All lags of PRICE F(4, 47) = 2.0829 [0.0980]
All lags of INCOME F(4, 47) = 4.3412 [0.0045]
All vars, lag 4 F(3, 47) = 11.755 [0.0000]
The middle two F-tests (only) are Granger causality tests. Putting
the buzzword in would require some reorganization. Dos anyone have
a suggestion (if it's worth doing)?
Allin Cottrell
5:13 p.m.
In the example here one can conclude that PRICE does not Granger cause
QNC. Gretl then gives the results of all bivariate Granger Causality
tests. There are other possible Granger Causality tests. If one
divides the n dimensional VAR into two sub-systems of dimension n1 and
n2 one may ask if the first system Granger causes the second. In the
example one may ask if PRICE Granger causes QNC and INCOME. This is a
joint test on the lags of PRICE in the QNC and INCOME equations. AS
far as I know this can not be implemented within the VAR estimation in
the GUI. (I presume that the test can be implemented using the
simultaneous equations estimation routines). Would it be possible
or worthwhile to add these items to the test menu in the Vector
autoregression results window.
On 6 August 2010 20:17, Allin Cottrell <cottrell(a)wfu.edu> wrote:
On Thu, 5 Aug 2010, Sven Schreiber wrote:
>
> Am 05.08.2010 18:08, schrieb Carlos Manuel Gratereaux Hernández:
> > I am a teacher of Basic Econometric at UASD of Dominican Repúblic. Last
> > class I was working about Granger Causality Test with my students. I had
> > to use another econometric software because i didn't find this test in
> > windows language GRETL. How can I do it in GRETL?
>
> IIRC it appears automatically in the output if you estimate the
> corresponding VAR. Some time ago the buzzword "Granger causality" did
> not appear in the output, but it was just that test. An explanatory
> remark may have been added in the meantime, I don't have time right now
> to verify.
No, it hasn't been added. The current output looks like this
(for an equation where QNC is the dependent variable):
F-tests of zero restrictions:
All lags of QNC F(4, 47) = 14.868 [0.0000]
All lags of PRICE F(4, 47) = 2.0829 [0.0980]
All lags of INCOME F(4, 47) = 4.3412 [0.0045]
All vars, lag 4 F(3, 47) = 11.755 [0.0000]
The middle two F-tests (only) are Granger causality tests. Putting
the buzzword in would require some reorganization. Dos anyone have
a suggestion (if it's worth doing)?
Allin Cottrell
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John C Frain
Economics Department
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj@tcd.ie
mailto:frainj@gmail.com
9:12 p.m.
A "Granger test" entry in Gretl menu would be great ;-)
Best,
Henrique
2010/8/6 John C Frain <frainj(a)gmail.com>
In the example here one can conclude that PRICE does not Granger
cause
QNC. Gretl then gives the results of all bivariate Granger Causality
tests. There are other possible Granger Causality tests. If one
divides the n dimensional VAR into two sub-systems of dimension n1 and
n2 one may ask if the first system Granger causes the second. In the
example one may ask if PRICE Granger causes QNC and INCOME. This is a
joint test on the lags of PRICE in the QNC and INCOME equations. AS
far as I know this can not be implemented within the VAR estimation in
the GUI. (I presume that the test can be implemented using the
simultaneous equations estimation routines). Would it be possible
or worthwhile to add these items to the test menu in the Vector
autoregression results window.
On 6 August 2010 20:17, Allin Cottrell <cottrell(a)wfu.edu> wrote:
> On Thu, 5 Aug 2010, Sven Schreiber wrote:
>
>>
>> Am 05.08.2010 18:08, schrieb Carlos Manuel Gratereaux Hernández:
>> > I am a teacher of Basic Econometric at UASD of Dominican Repúblic.
Last
>> > class I was working about Granger Causality Test with my students. I
had
>> > to use another econometric software because i didn't find this test in
>> > windows language GRETL. How can I do it in GRETL?
>>
>> IIRC it appears automatically in the output if you estimate the
>> corresponding VAR. Some time ago the buzzword "Granger causality" did
>> not appear in the output, but it was just that test. An explanatory
>> remark may have been added in the meantime, I don't have time right now
>> to verify.
>
> No, it hasn't been added. The current output looks like this
> (for an equation where QNC is the dependent variable):
>
> F-tests of zero restrictions:
>
> All lags of QNC F(4, 47) = 14.868 [0.0000]
> All lags of PRICE F(4, 47) = 2.0829 [0.0980]
> All lags of INCOME F(4, 47) = 4.3412 [0.0045]
> All vars, lag 4 F(3, 47) = 11.755 [0.0000]
>
> The middle two F-tests (only) are Granger causality tests. Putting
> the buzzword in would require some reorganization. Dos anyone have
> a suggestion (if it's worth doing)?
>
> Allin Cottrell
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>
--
John C Frain
Economics Department
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj@tcd.ie
mailto:frainj@gmail.com
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Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
9:14 p.m.
A simple matrix output as for the correlation matrix would be the
simplest way I think...?
Best,
Artur
Am 07.08.2010 02:12, schrieb Henrique Andrade:
A "Granger test" entry in Gretl menu would be great ;-)
Best,
Henrique
2010/8/6 John C Frain <frainj(a)gmail.com <mailto:frainj@gmail.com>>
In the example here one can conclude that PRICE does not Granger cause
QNC. Gretl then gives the results of all bivariate Granger Causality
tests. There are other possible Granger Causality tests. If one
divides the n dimensional VAR into two sub-systems of dimension n1 and
n2 one may ask if the first system Granger causes the second. In the
example one may ask if PRICE Granger causes QNC and INCOME. This is a
joint test on the lags of PRICE in the QNC and INCOME equations. AS
far as I know this can not be implemented within the VAR estimation in
the GUI. (I presume that the test can be implemented using the
simultaneous equations estimation routines). Would it be possible
or worthwhile to add these items to the test menu in the Vector
autoregression results window.
On 6 August 2010 20:17, Allin Cottrell <cottrell(a)wfu.edu
<mailto:cottrell@wfu.edu>> wrote:
> On Thu, 5 Aug 2010, Sven Schreiber wrote:
>
>>
>> Am 05.08.2010 18:08, schrieb Carlos Manuel Gratereaux Hernández:
>> > I am a teacher of Basic Econometric at UASD of Dominican
Repúblic. Last
>> > class I was working about Granger Causality Test with my
students. I had
>> > to use another econometric software because i didn't find
this test in
>> > windows language GRETL. How can I do it in GRETL?
>>
>> IIRC it appears automatically in the output if you estimate the
>> corresponding VAR. Some time ago the buzzword "Granger
causality" did
>> not appear in the output, but it was just that test. An explanatory
>> remark may have been added in the meantime, I don't have time
right now
>> to verify.
>
> No, it hasn't been added. The current output looks like this
> (for an equation where QNC is the dependent variable):
>
> F-tests of zero restrictions:
>
> All lags of QNC F(4, 47) = 14.868 [0.0000]
> All lags of PRICE F(4, 47) = 2.0829 [0.0980]
> All lags of INCOME F(4, 47) = 4.3412 [0.0045]
> All vars, lag 4 F(3, 47) = 11.755 [0.0000]
>
> The middle two F-tests (only) are Granger causality tests. Putting
> the buzzword in would require some reorganization. Dos anyone have
> a suggestion (if it's worth doing)?
>
> Allin Cottrell
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu <mailto:Gretl-users@lists.wfu.edu>
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>
--
John C Frain
Economics Department
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
<http://www.tcd.ie/Economics/staff/frainj/home.html>
mailto:frainj@tcd.ie <mailto:frainj@tcd.ie>
mailto:frainj@gmail.com <mailto:frainj@gmail.com>
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--
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge <http://www.ufrgs.br/ppge>
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3:21 a.m.
On Fri, 6 Aug 2010, Henrique Andrade wrote:
A "Granger test" entry in Gretl menu would be great ;-)
Would it? I beg to differ. The test is there already, and that's what
counts; why do you need a separate menu entry? The cost of crowding the
menus is not zero. Moreover, from a purely pedagogical point of view I'd
rather teach my students "despite the fancy name a GC test is just an F
test; here it is" that "you find the GC test under such and such submenu",
as I prefer comprehension to mindless memorisation, but maybe that's just
me.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
4:46 a.m.
I agree with you. For many years, several students didn´t understand GC test
in my classes because the authomatic option of Eviews. They never worried
about the number of lags and had difficult to understand the importance of
the normality of residuals. A menu would be great, but it´s better to show
the whole output of the regressions...
Claudio Shikida
On Sat, Aug 7, 2010 at 4:21 AM, Riccardo (Jack) Lucchetti <
r.lucchetti(a)univpm.it> wrote:
On Fri, 6 Aug 2010, Henrique Andrade wrote:
A "Granger test" entry in Gretl menu would be great ;-)
>
Would it? I beg to differ. The test is there already, and that's what
counts; why do you need a separate menu entry? The cost of crowding the
menus is not zero. Moreover, from a purely pedagogical point of view I'd
rather teach my students "despite the fancy name a GC test is just an F
test; here it is" that "you find the GC test under such and such
submenu",
as I prefer comprehension to mindless memorisation, but maybe that's just
me.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
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6:27 a.m.
Am 07.08.2010 09:21, schrieb Riccardo (Jack) Lucchetti:
On Fri, 6 Aug 2010, Henrique Andrade wrote:
> A "Granger test" entry in Gretl menu would be great ;-)
Would it? I beg to differ. The test is there already, and that's what
counts; why do you need a separate menu entry? The cost of crowding the
menus is not zero. Moreover, from a purely pedagogical point of view I'd
rather teach my students "despite the fancy name a GC test is just an F
test; here it is" that "you find the GC test under such and such
submenu", as I prefer comprehension to mindless memorisation, but maybe
that's just me.
I think I agree. Nevertheless, I still think that it would be helpful to
briefly comment the test output by adding something like "(H0: x is
Granger non-causal for y)". This would remove any remaining doubts. Even
if a user is completely aware of what a GC test really is, a sparse test
output is sometimes ambiguous if you're not a gretl insider.
cheers,
sven
5145
days inactive
5147
days old
9 comments
9 participants
participants (9)
-
Allin Cottrell -
Artur T. -
Carlos Manuel Gratereaux Hernández -
Claudio Shikida (敷田治誠 クラウジオ) -
Henrique Andrade -
John C Frain -
Riccardo (Jack) Lucchetti -
Summers, Peter -
Sven Schreiber