Hmm...I saw omitting endogenous variables in PcGive. It is possibile. These are so called Exclusion restrictions and all variables in VAR can be tested. You can test all the variables in VAR using F test but Exclusion restrictions are done via Subset Chi^2 (square) test and you can test endogenous, deterministics and exogenous variables.
Are Granger tests doable for VECMs ? As tere are no F tests in VECM output. (my question excludes testing beta) In previous posts I was talking about VAR/VECM confidence intervals. They are set as default in plot console to be errorbars and this can't be changed. Is it possible to activate this option so user can set it freely for example to be lines? Thanx John >From: "Riccardo Jack" Lucchetti"" <r.lucchetti(a)univpm.it> >Reply-To: r.lucchetti(a)univpm.it, Gretl list ><gretl-users(a)ricardo.ecn.wfu.edu> >To: "Gretl list" <gretl-users(a)ricardo.ecn.wfu.edu> >Subject: Re: [Gretl-users] New Windows snapshot - Again.... >Date: Tue, 31 Jan 2006 19:44:01 +0100 (CET) > > >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 > >_______________________________________________ >Gretl-users mailing list >Gretl-users(a)ricardo.ecn.wfu.edu >http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users _________________________________________________________________ Be the first to hear what's new at MSN - sign up to our free newsletters! http://www.msn.co.uk/newsletters
