Re: [Gretl-users] I: Dumitrescu-Hurlin test and Granger causality test

Thursday, 23 March 2017

Dear Sven,

yes, you are right :)

Thanks a lot
Giuseppe

On Thu, 2017-03-23 at 18:00 +0000, Giuseppe wrote:

...
 Dear all,

 > I am trying to compute the pairwise Dumitrescu-Hurlin test (a
Granger-causality test for panel data) in gretl.
...
 > In order to do this, after having run a separate:
 > var # y1 y2
 > one for each cross-sectional unit in the panel, I need to retrieve the value
of the F-test for the null hypothesis that no lags of variable
y2 (y1) are significant in the equation for variable y1 (y2).
...
 > gretl computes these Granger causality tests and shows them by
default
...
 > after the command "var", but it seems that this value
isn't stored in any accessor...
...
 > Is there an easy way to retrieve it?

 Not that I'm aware of (and I may be wrong and/or there may be a function 
...

 package for it, although I don't think so), but what about the following 
...
 workaround:

 For a Granger causality test from x on y you don't need to estimate a 
 VAR, you only need the equation for y. So I would estimate the single 
 equation for y with OLS, including the relevant lags, and then testing 
...
 Granger causality with the "omit" command. Something like
this:

 list causelags = lags(p, x)    # p is the lag order
 list targetlags = lags(p, y)
 ols y const targetlags causelags
 omit causelags --test-only --silent
 yxteststat = $test
 yxpval = $pvalue 
...
 Of course if you want to test in both directions, you have to do this
workaround again for x on the LHS (possibly with a loop to avoid code
duplication).
...

 hth,
 sven 

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