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

Allin Cottrell cottrell at wfu.edu
Mon Jul 8 21:59:16 EDT 2013


On Tue, 9 Jul 2013, cociuba mihai wrote:

> 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...

What Wald test? (That is, for what null hypothesis?)

> in a matrix, the script that I try to run gets stuck at the last 
> step. Any suggestion are welcome.

[last step]
> loop foreach i a b c d
>   var $i M1 R --nc
>   F_stat[$i,] = $test ~ $pvalue
> endloop

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


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