[Gretl-users] VAR/Granger Causality

Gabriela Nodari gabriela.nodari at gmail.com
Mon Jul 15 11:49:11 EDT 2013


Dear Logan,

GRETL automatically computes Granger causality tests. As stated in the
guide: "For each variable in the system an F test is automatically
performed, in which the null hypothesis is that no lags of variable j are
significant in the equation for variable i. This is commonly known as a
Granger causality test". Moreover, there is a short video explaining that
on youtube: http://www.youtube.com/watch?v=ON5pJ8xd3E4

Gabriela


On Mon, Jul 15, 2013 at 5:38 PM, Logan Kelly <logan.kelly at uwrf.edu> wrote:

>  Hello,****
>
> ** **
>
> I would like to access the Granger Causality stats after running var. I am
> using Gretl 1.9.12cvs. I would like to do something like****
>
> ** **
>
> matrix matFSTAT = $Fstat****
>
> ** **
>
> which of course does not work but this is the idea of what I need. Is
> there an easy way to do this?****
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users at lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>
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