On Tue, January 31, 2006 19:27, john w wrote: > I use Windows version if this can help you. > > Yes, that's it Allin! > "Omit" variables is the solution. But why not to extend it on endogenous > variables too!? (Plus deterministics and exogenous variables). This will be > just perfect! >
Hmm.. generalising here is tricky. If you omit SOME lags from a VAR, then you lose the justification for estimating it via OLS, because if the regressors vary across equations you should use SUR (that gretl provides, by the way) instead. So I think endogenous variables should be left alone. > Also, I think that this is possible for VECMs too. > > As we are talking about causalities, one of the possible feature could be > the possibility to test Granger causality (block and bivariate or pairwise). > What do you think? You've already got that: the F-tests under the individual regressions are precisely Granger-causality tests. -- Riccardo "Jack" Lucchetti Dipartimento di Economia Facoltà di Economia "G. Fuà" Ancona
