[Gretl-users] retrieving F-stat and p-value from a VAR system

cociuba mihai cociuba at gmail.com
Mon Jul 8 18:44:11 EDT 2013


Dear GRETL users,
I'm testing Granger causality between inflation and inflation uncertainty
for 15 countries and I would like to retrieve the result of the Wald test
in a matrix, the script that I try to run gets stuck at the last step. Any
suggestion are welcome.

###hansl###
open Table_17.3.gdt
var 10 M1 R --lagselect
a=2
b=3
c=6
d=8
#number of rows 4, but the number of F statistics reported in the VAR
output for #every equations is 3 so maybe I need more?
scalar T = 4
#generate the matrix with 4 rows and 2 colums
matrix F_stat = zeros(T,2)
#rename the colums
# is it possible to have also the name of the F test?
colnames(F_stat, "t-stat p-value")
    loop foreach i a b c d
var $i M1 R --nc
F_stat[$i,] = $test ~ $pvalue
endloop
print F_stat
###end###

Thanks, Mihai
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