Thanks a lot. Agustin Aloonso-Rodriguez -----Mensaje original----- De: gretl-users-request(a)gretlml.univpm.it <gretl-users-request(a)gretlml.univpm.it&gt; Enviado el: sábado, 12 de noviembre de 2022 0:00 Para: gretl-users(a)gretlml.univpm.it Asunto: Gretl-users Digest, Vol 190, Issue 18 Send Gretl-users mailing list submissions to gretl-users(a)gretlml.univpm.it To subscribe or unsubscribe via email, send a message with subject or body 'help' to gretl-users-request(a)gretlml.univpm.it You can reach the person managing the list at gretl-users-owner(a)gretlml.univpm.it When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. Re: VAR modeling (Cottrell, Allin) ---------------------------------------------------------------------- Date: Fri, 11 Nov 2022 15:49:50 -0500 From: "Cottrell, Allin" <cottrell(a)wfu.edu&gt; Subject: [Gretl-users] Re: VAR modeling To: Gretl list <gretl-users(a)gretlml.univpm.it&gt; Message-ID: <CA+BOgOAzH_JAytimC9ENt-s+cRdLY21AKNShdhDARtHAR+ZkNg(a)mail.gmail.com&gt; Content-Type: text/plain; charset="UTF-8" On Fri, Nov 11, 2022 at 5:28 AM Agustín Alonso Rodríguez <aalonso(a)rcumariacristina.com&gt; wrote: You have a reply from Sven, noting that gretl does not currently have a built-in procedure for what you describe. That's true, but I'll offer a somewhat different perspective. When you estimate a VAR with p lags of each variable, you should not be too concerned with the "statistical significance" of each coefficient -- and not too quick to eliminate terms that are "insignificant". If the VAR is in levels, in particular, it's likely that the several lags of a given variable will be strongly correlated. This then gives you the classic "multicollinearity" effect, whereby each individual coefficient may be "insignificant" yet a joint test strongly rejects the null hypothesis that the "collinear" variables all have coefficients equal to zero. Gretl shows you the joint (F) tests after estimating a VAR -- that is, tests for Granger causality -- and you might be better off using these to eliminate one or more variables from your specification (if warranted) rather than worrying about individual lagged terms. Allin Cottrell ------------------------------ Subject: Digest Footer _______________________________________________ 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/ ------------------------------ End of Gretl-users Digest, Vol 190, Issue 18 ********************************************