On Wed, 29 Apr 2009, Reynald MAJETTI wrote:
Dear Professor Lucchetti,
I'm a student in Economics at the University Nancy 2 (FRANCE). I'm using
GRETL for my master's paper, more particularly the time series models and the
cointegration analysis. So, I would have like to know if the Granger
causality tests are available in GRETL, since I've read the user's guide but
I find nothing about the causality tests.
Granger-causality tests are included in the standard output for VAR models (the
zero-restriction tests that come after each equation). Be aware that for VARs
with unit roots, such as cointegrated VECMs, testing for Granger-causality is
not trivial. This issue is well explained in Lütkepohl's "New Introduction to
Multiple Time Series Analysis", pp. 316--321.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche