[Gretl-users] VAR/Granger Causality

Logan Kelly logan.kelly at uwrf.edu
Mon Jul 15 23:26:52 EDT 2013


Thanks. For my purpose, your function is actually superior to running the var function in that I can skip estimating the irrelevant equations.

Logan



-------- Original message --------
From: "Riccardo (Jack) Lucchetti" <r.lucchetti at univpm.it>
Date: 07/15/2013 5:49 PM (GMT-06:00)
To: Gretl list <gretl-users at lists.wfu.edu>
Subject: Re: [Gretl-users] VAR/Granger Causality


On Mon, 15 Jul 2013, Logan Kelly 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?

I suppose a function could do the job quite nicely. The following is an
example of the many ways in which this could be done.

<hansl>
set echo off
set messages off

function scalar GCtest(series y, series x, list detvars,
     scalar order, scalar *pv[null])
     ols y detvars y(-1 to -order) x(-1 to -order) --quiet
     omit x(-1 to -order) --silent
     pv = $pvalue
     return $test
end function

# -- open data ----------------------------------
open AWM.gdt --quiet

# -- check the function works as intended -------
var 3 LTN STN --quiet
# compare
GC1 = GCtest(LTN, STN, const, 3)
PV = NA
GC2 = GCtest(STN, LTN, const, 3, &PV)
print GC2 PV

# -- apply the function in a loop ---------------
smpl +12 ;

matrix moo = zeros(12,2)
loop for i=1..12 --quiet
     GC = GCtest(STN, LTN, const, i, &PV)
     printf "GC test (%2d lags) = %g, (p-value = %g)\n", i, GC, PV
     moo[i,] = {GC, PV}
end loop

print moo
</hansl>

Of course you could prefer incorporating the loop inside the function and
have it spit out the matrix you want, it would just be a matter of style.


-------------------------------------------------------
   Riccardo (Jack) Lucchetti
   Dipartimento di Scienze Economiche e Sociali (DiSES)

   Università Politecnica delle Marche
   (formerly known as Università di Ancona)

   r.lucchetti at univpm.it
   http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
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