6:33 p.m.
Hi,
is it possible to call the Granger Causality test (GC) via the menu? I tried with
Model/Time Series/Vector autoregression but there are no lags for the exogenous variable
(and they cannot be specified, the button is gray).
Calling GC in Hansl with the var command works perfectly in contrast.
In short: Is this a bug or a feature ;-) ?
Thanks and kind regards,
Thorsten
7:09 p.m.
On Thu, 21 Apr 2016, Wingenroth, Thorsten wrote:
is it possible to call the Granger Causality test (GC) via the
menu? I tried with Model/Time Series/Vector autoregression but
there are no lags for the exogenous variable (and they cannot be
specified, the button is gray).
There appears to be a little glitch here. If you select one or more
exogenous variables from scratch in the VAR dialog, the "lags..."
button becomes active. If you are revisiting the VAR dialog after
estimating a VAR already, first empty the "Exogenous variables" box
then select one or more variables for inclusion, and the "lags..."
button will light up again. (This should not be necessary, I'll try
to see what's going on here.)
Calling GC in Hansl with the var command works perfectly in
contrast.
In short: Is this a bug or a feature ;-) ?
The GC test is just an F-test on lags of the candidate variable (in
the presence of lags of the "target" variable). In the GUI, use
/Tests/Omit exogenous variables.
Allin Cottrell
5:30 a.m.
Hi Alan,
thank you for your quick answer.
I could replicate your first suggestion. After clearing all variables and setting the
exogenous variable again, it worked.
But where do I find the menu item " use /Tests/Omit exogenous variables." from
your second suggestion?
Thank you and kind regards,
Thorsten
-----Ursprüngliche Nachricht-----
Von: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] Im
Auftrag von Allin Cottrell
Gesendet: Donnerstag, 21. April 2016 21:09
An: Gretl list
Betreff: Re: [Gretl-users] Granger Causality via menu?
On Thu, 21 Apr 2016, Wingenroth, Thorsten wrote:
is it possible to call the Granger Causality test (GC) via the menu?
I
tried with Model/Time Series/Vector autoregression but there are no
lags for the exogenous variable (and they cannot be specified, the
button is gray).
There appears to be a little glitch here. If you select one or more exogenous variables
from scratch in the VAR dialog, the "lags..."
button becomes active. If you are revisiting the VAR dialog after estimating a VAR
already, first empty the "Exogenous variables" box then select one or more
variables for inclusion, and the "lags..."
button will light up again. (This should not be necessary, I'll try to see what's
going on here.)
Calling GC in Hansl with the var command works perfectly in
contrast.
In short: Is this a bug or a feature ;-) ?
The GC test is just an F-test on lags of the candidate variable (in the presence of lags
of the "target" variable). In the GUI, use /Tests/Omit exogenous variables.
Allin Cottrell
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8:13 a.m.
Am 22.04.2016 um 07:30 schrieb Wingenroth, Thorsten:
But where do I find the menu item " use /Tests/Omit exogenous
variables." from your second suggestion?
I think there is some mis-understanding about the term "exogenous" here.
Allin is referring (I think) to the single-equation OLS dialogs. And
that is indeed all you need for a GC test. The RHS lagged variables are
traditionally called "exogenous" there, even though they are just
pre-determined, not strictly exogenous.
If you work in the VAR framework, the same terms are called lagged
endogenous. The GC tests are automatically displayed when you estimate a
VAR from the GUI -- you just have to know where to find them / which
they are.
There was a thread about this question last month, see:
http://lists.wfu.edu/pipermail/gretl-users/2016-March/011681.html
cheers,
sven
12:07 p.m.
On Fri, 22 Apr 2016, Wingenroth, Thorsten wrote:
Hi Alan,
thank you for your quick answer.
I could replicate your first suggestion. After clearing all
variables and setting the exogenous variable again, it worked.
The bug in that context is now fixed in git and snapshots: the lags
button for exogenous variables in a VAR should now be active whenever
it's supposed to be.
But where do I find the menu item " use /Tests/Omit exogenous
variables." from your second suggestion?
That's on the GUI menubar in the window showing VAR results.
Allin Cottrell
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4 comments
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participants (3)
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Allin Cottrell -
Sven Schreiber -
Wingenroth, Thorsten