On 02/16/2012 09:34 AM, alexkakashi(a)libero.it wrote:
Hi,
I have the following question. Let us consider a trivariate VAR model. The
parameters of the model are estimated using:
system method=sur
equation Y const Y(-1) X(-1) Z(-1)
equation X const Y(-1) X(-1) Z(-1)
equation Z const Y(-1) X(-1) Z(-1)
end system
I'd like study Granger causality from X to Y and the critical values are
calculated using bootstrap method based on residuals. Is this procedure
implemented in gretl?
Not that I know of, but have a look at the varsimul() and resample()
functions, with those it's not too difficult to program it.
hth,
sven