5:40 a.m.
On Wed, 15 Sep 2010, sahana shreeya wrote:
Hello, does GRETL can perform ARDL test, how to go about it
Pardon my ignorance: what is an ARDL test?
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
9:18 a.m.
This is a stupid question: how to perform a Granger-Sims causality in R?
The GS causality test is like the Granger causality, but includes not only
lags, but also leads of the variable. For example:
Yt = f( lags X, leads X).
I tried to create a Y(+1) in gretl and it was ok (except the name, which was
Y(-1), but the time series was ok). However, in VAR windows, I cannot put it
as a new variable (and neither can I put an AR(-1) instead of an AR(1)). I
presume I will have to create the series somewhere, in a spreadsheet for
example, and then go for it in Gretl.
So, this is just to ask if there is another way to do so.
Thank you a lot.
Claudio
--
http://shikida.net and http://works.bepress.com/claudio_shikida/
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1:58 p.m.
On Wed, 15 Sep 2010, Claudio wrote:
This is a stupid question: how to perform a Granger-Sims
causality in R?
I presume you mean, in gretl.
The GS causality test is like the Granger causality, but
includes not only lags, but also leads of the variable...
As Sims (1972) puts it, "If and only if causality runs one way
from current and past values of some list of exogenous variables
to a given endogenous variable, then in a regression of the
endogenous variable on past, current and future values of the
exogenous variables, the future values of the exogenous variables
should have zero coefficients."
You can't specify leads (negative lags) with gretl's VAR command,
but VARs are just estimated via OLS so you can easily do this in
gretl. Here, for example, is a Sims test for one-way causality of
US car sales (QNC) by US consumers' income (INCOME):
open data9-7
list Xlags = INCOME(-1 to -4)
list Xleads = INCOME(+1 to +4)
ols QNC 0 Xlags INCOME Xleads
omit Xleads --quiet
"omit" gives F(4,46) = 0.263 with p-value 0.90, so the hypothesis
of one-way causality (all the leads of INCOME have zero
coefficients) is not rejected.
Allin Cottrell
2:08 p.m.
thank you so much! I will have to run a script, if I read it correctly. I
will have fun with this.
Thanks.
On Wed, Sep 15, 2010 at 10:58 AM, Allin Cottrell <cottrell(a)wfu.edu> wrote:
On Wed, 15 Sep 2010, Claudio wrote:
> This is a stupid question: how to perform a Granger-Sims
> causality in R?
I presume you mean, in gretl.
> The GS causality test is like the Granger causality, but
> includes not only lags, but also leads of the variable...
As Sims (1972) puts it, "If and only if causality runs one way
from current and past values of some list of exogenous variables
to a given endogenous variable, then in a regression of the
endogenous variable on past, current and future values of the
exogenous variables, the future values of the exogenous variables
should have zero coefficients."
You can't specify leads (negative lags) with gretl's VAR command,
but VARs are just estimated via OLS so you can easily do this in
gretl. Here, for example, is a Sims test for one-way causality of
US car sales (QNC) by US consumers' income (INCOME):
open data9-7
list Xlags = INCOME(-1 to -4)
list Xleads = INCOME(+1 to +4)
ols QNC 0 Xlags INCOME Xleads
omit Xleads --quiet
"omit" gives F(4,46) = 0.263 with p-value 0.90, so the hypothesis
of one-way causality (all the leads of INCOME have zero
coefficients) is not rejected.
Allin Cottrell
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12:11 p.m.
Am 15.09.2010 07:40, schrieb Riccardo (Jack) Lucchetti:
On Wed, 15 Sep 2010, sahana shreeya wrote:
>
> Hello, does GRETL can perform ARDL test, how to go about it
>
Pardon my ignorance: what is an ARDL test?
testing, estimating, schmestimating -- it's all just the same, dirty
econometrics, isn't it?
(forgive my childish and unqualified reply -- I'll probably regret it in
a few years time when the eternal memory of the internet reminds me [or
others] of it)
-s
3:55 p.m.
ARDL=Auto regressive distributed lags
On Wed, Sep 15, 2010 at 1:40 PM, Riccardo (Jack) Lucchetti <
r.lucchetti(a)univpm.it> wrote:
On Wed, 15 Sep 2010, sahana shreeya wrote:
> Hello, does GRETL can perform ARDL test, how to go about it
>
>
Pardon my ignorance: what is an ARDL test?
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
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4:07 p.m.
On Thu, 16 Sep 2010, sahana shreeya wrote:
ARDL=Auto regressive distributed lags
On Wed, Sep 15, 2010 at 1:40 PM, Riccardo (Jack) Lucchetti <
r.lucchetti(a)univpm.it> wrote:
> On Wed, 15 Sep 2010, sahana shreeya wrote:
>
>> Hello, does GRETL can perform ARDL test, how to go about it
>>
> Pardon my ignorance: what is an ARDL test?
Jack knows what "ARDL" stands for; his question was what an ARDL
"test" is (and I don't think there is such a thing). But anyway,
we're assuming you mean ARDL estimation, and I answered on that
basis:
http://lists.wfu.edu/pipermail/gretl-users/2010-September/005380.html
Allin Cottrell
1:29 p.m.
On Wed, 15 Sep 2010, sahana shreeya wrote:
Hello, does GRETL can perform ARDL test, how to go about it
At
http://lists.wfu.edu/pipermail/gretl-users/2010-February/004441.html
you'll find a script to estimate an Almon lag specification using
gretl. You may be able to adapt it to your case.
Allin Cottrell
4975
days inactive
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days old
8 comments
5 participants
participants (5)
-
Allin Cottrell -
Claudio Shikida (敷田治誠 クラウジオ) -
Riccardo (Jack) Lucchetti -
sahana shreeya -
Sven Schreiber