[Gretl-users] VAR/Granger Causality

Allin Cottrell cottrell at wfu.edu
Mon Jul 15 14:40:48 EDT 2013


On Mon, 15 Jul 2013, Logan Kelly wrote:

> 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

You're not the first to want something like that. It would be 
a good thing to add, but right now the only way to generate 
such a matrix would be to run the VAR manually, as a set of 
OLSes, and use "omit" or "restrict" to get the F-test values.

Allin Cottrell




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