1:40 p.m.
dear,
how to conduct the VEC Granger Causality Test/ Block Exogeneity Wald Test?
Best regards,
Nikola
4:47 p.m.
Am 19.04.2023 um 15:40 schrieb NIkola Radivojevic:
dear,
how to conduct the VEC Granger Causality Test/ Block Exogeneity Wald Test?
Hi, I'm interpreting your question as being about strong exogeneity of,
say, x with respect to y, such that no (lagged) terms involving x should
appear in the equation with y (or \Delta y) on the LHS.
I don't think this is natively available in the VECM context, and
probably for good reasons. Quoting Kilian & Lütkepohl (the SVAR book):
"Granger causality may be assessed within the VEC framework [...] but
the asymptotic distributions depend on nuisance parameters. [...] an
easy cure for this problem is to add a further lag to the VAR process
and perform the test on the first p lags of the lag-augmented VAR." (p. 49)
So I would recommend to just run a single-equation OLS regression for y
with p+1 lags of all involved variables (x as well as other conditioning
variables Z), and then perform an omission restriction on the lags 1...p
of x.
Of course this test will in practice be sensitive to the lag choice p,
but that is a general problem not specific to this question.
cheers
sven
4:57 p.m.
Dear Nikola:
I'm not sure, but probably it would be possible to test for non-Granger
causality test as David Giles explains for Eviews using your option VEC
Granger Causality Test/ Block Exogeneity Wald Test with the VAR options in
Gretl.
https://davegiles.blogspot.com/2011/04/testing-for-granger-causality.html
Best regards
José Perles
University of Alicante
El mié, 19 abr 2023 a las 18:47, Sven Schreiber (<
sven.schreiber(a)fu-berlin.de>) escribió:
Am 19.04.2023 um 15:40 schrieb NIkola Radivojevic:
dear,
how to conduct the VEC Granger Causality Test/ Block Exogeneity Wald Test?
Hi, I'm interpreting your question as being about strong exogeneity of,
say, x with respect to y, such that no (lagged) terms involving x should
appear in the equation with y (or \Delta y) on the LHS.
I don't think this is natively available in the VECM context, and probably
for good reasons. Quoting Kilian & Lütkepohl (the SVAR book): "Granger
causality may be assessed within the VEC framework [...] but the asymptotic
distributions depend on nuisance parameters. [...] an easy cure for this
problem is to add a further lag to the VAR process and perform the test on
the first p lags of the lag-augmented VAR." (p. 49)
So I would recommend to just run a single-equation OLS regression for y
with p+1 lags of all involved variables (x as well as other conditioning
variables Z), and then perform an omission restriction on the lags 1...p of
x.
Of course this test will in practice be sensitive to the lag choice p, but
that is a general problem not specific to this question.
cheers
sven
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5:05 p.m.
thank you,
I have an idea but I'm still not sure if it's right. I will look at the link now.
thank you
On Apr 19, 2023, at 18:57, JOSE FRANCISCO PERLES RIBES
<jfperles(a)gmail.com> wrote:
Dear Nikola:
I'm not sure, but probably it would be possible to test for non-Granger causality
test as David Giles explains for Eviews using your option VEC Granger Causality Test/
Block Exogeneity Wald Test with the VAR options in Gretl.
5:19 p.m.
Am 19.04.2023 um 18:57 schrieb JOSE FRANCISCO PERLES RIBES:
Dear Nikola:
I'm not sure, but probably it would be possible to test for
non-Granger causality test as David Giles explains for Eviews using
your option VEC Granger Causality Test/ Block Exogeneity Wald Test
with the VAR options in Gretl.
https://davegiles.blogspot.com/2011/04/testing-for-granger-causality.html
Hi José, this is an interesting idea (declaring the p+1-th lag as an
exogenous variable) - but first it didn't work for me, because gretl is
apparently "too clever" with its lag handling and doesn't directly allow
you to put a lag of an endogenous variable into the list of exogenous ones.
However, what did work is to manually create an extra list before
running the VAR. Example in script form:
<hansl>
open denmark
order = 4 # let's assume this is correct
list endogenous = LRM LRY IBO # just an arbitrary example
list extralag = lags({order+1}, endogenous) # note the curly braces
var order endogenous ; extralag
</hansl>
And then you have your relevant and appropriate Granger test results in
the standard VAR output indeed. The same thing can be achieved via the
menus.
thanks
sven
5:24 p.m.
Many thanks Sven for your clear example.
Best regards
Jose
Enviado desde mi iPhone
El 19 abr 2023, a las 19:19, Sven Schreiber
<sven.schreiber(a)fu-berlin.de> escribió:
Am 19.04.2023 um 18:57 schrieb JOSE FRANCISCO PERLES RIBES:
> Dear Nikola:
>
> I'm not sure, but probably it would be possible to test for non-Granger causality
test as David Giles explains for Eviews using your option VEC Granger Causality Test/
Block Exogeneity Wald Test with the VAR options in Gretl.
>
> https://davegiles.blogspot.com/2011/04/testing-for-granger-causality.html
>
Hi José, this is an interesting idea (declaring the p+1-th lag as an exogenous variable)
- but first it didn't work for me, because gretl is apparently "too clever"
with its lag handling and doesn't directly allow you to put a lag of an endogenous
variable into the list of exogenous ones.
However, what did work is to manually create an extra list before running the VAR.
Example in script form:
<hansl>
open denmark
order = 4 # let's assume this is correct
list endogenous = LRM LRY IBO # just an arbitrary example
list extralag = lags({order+1}, endogenous) # note the curly braces
var order endogenous ; extralag
</hansl>
And then you have your relevant and appropriate Granger test results in the standard VAR
output indeed. The same thing can be achieved via the menus.
thanks
sven
_______________________________________________
Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it
To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it
Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/
5 p.m.
Thank you,
I am thinking in a similar direction. My idea was to try to use the gretl to examine the
short-term correlation between economic factors, when the series are cointegrated and the
VECM must be used.
Thank you once again.
On Apr 19, 2023, at 18:47, Sven Schreiber
<sven.schreiber(a)fu-berlin.de> wrote:
Am 19.04.2023 um 15:40 schrieb NIkola Radivojevic:
> dear,
> how to conduct the VEC Granger Causality Test/ Block Exogeneity Wald Test?
Hi, I'm interpreting your question as being about strong exogeneity of, say, x with
respect to y, such that no (lagged) terms involving x should appear in the equation with y
(or \Delta y) on the LHS.
I don't think this is natively available in the VECM context, and probably for good
reasons. Quoting Kilian & Lütkepohl (the SVAR book): "Granger causality may be
assessed within the VEC framework [...] but the asymptotic distributions depend on
nuisance parameters. [...] an easy cure for this problem is to add a further lag to the
VAR process and perform the test on the first p lags of the lag-augmented VAR." (p.
49)
So I would recommend to just run a single-equation OLS regression for y with p+1 lags of
all involved variables (x as well as other conditioning variables Z), and then perform an
omission restriction on the lags 1...p of x.
Of course this test will in practice be sensitive to the lag choice p, but that is a
general problem not specific to this question.
cheers
sven
_______________________________________________
Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it
To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it
Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/
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6 comments
4 participants
participants (4)
-
JOSE FRANCISCO PERLES RIBES -
José Perles
-
NIkola Radivojevic -
Sven Schreiber