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

Allin Cottrell cottrell at wfu.edu
Mon Jul 8 22:15:21 EDT 2013


On Mon, 8 Jul 2013, Allin Cottrell wrote:

> 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?)

OK, in fact clear enough from context. Trivial example of what I 
described in my previous posting:

<hansl>
open data9-7
scalar p = 4
var p PRIME UNEMP
list RHS = const PRIME(-1 to -p) UNEMP(-1 to -p)
# first equation: does UNEMP Granger-cause PRIME?
ols PRIME RHS --quiet
omit UNEMP(-1 to -p) --quiet --test-only
eval $test
eval $pvalue
# second equation: does PRIME Granger-cause UNEMP?
ols UNEMP RHS --quiet
omit PRIME(-1 to -p) --quiet --test-only
eval $test
eval $pvalue
</hansl>

Allin Cottrell


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