[Gretl-users] VAR/Granger Causality

Logan Kelly logan.kelly at uwrf.edu
Mon Jul 15 12:02:02 EDT 2013


Thanks for your quick response. I can see the f-stats in the output that are the GC test, but I would like to collect the test statistic in a matrix for further formatting. In a single equation model I would use

matrix matFSTAT = $Fstat

I am running several VAR's in a loop and need to store only these f-stats. My question is only about storing this stat after running var. Any suggestions?

From: gretl-users-bounces at lists.wfu.edu [mailto:gretl-users-bounces at lists.wfu.edu] On Behalf Of Gabriela Nodari
Sent: Monday, July 15, 2013 10:49 AM
To: Gretl list
Subject: Re: [Gretl-users] VAR/Granger Causality

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<mailto: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?

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