On Tue, 9 Jul 2013, cociuba mihai wrote: What Wald test? (That is, for what null hypothesis?) [last step] The "var" command in gretl does not supply a $test accessor. In fact no model estimation command in gretl does that: the label "test" is much too general, given that many sorts of tests might be contemplated after estimating a given model (either single-equation or multi-equation). Since a VAR is just a collection of equations related in a certain way (identical right-hand sides, specific relation between left-hand side variables and right-hand sides), estimated in practice via OLS, you can get whatever Wald statistics you want by estimating the equations singly via the "ols" command, and using either "omit" or "restrict" (which do produce $test and $pvalue). (I suppose we could generalize the current scalar $Fstat accessor for single equation models to a matrix for VARs, but that would require some decisions on which F-stats to include and in what configuration.) Allin Cottrell