[Gretl-users] VAR/Granger Causality

Gabriela Nodari gabriela.nodari at gmail.com
Mon Jul 15 12:07:10 EDT 2013


Oh, sorry for my misunderstanding!  In that case I think I cannot help you
too much. I will think about it, hopefully in the meantime you will receive
some suggestions!


On Mon, Jul 15, 2013 at 6:02 PM, Logan Kelly <logan.kelly at uwrf.edu> wrote:

>  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> 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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