Hi Jack, >Of course it is possible. VARs are rather trivial parametric models for >which >standard inference methods apply (at least in the stationary case --- see >below). My point was, general exclusion tests are often pointless in VARs, >since these models don't aim at a structural representation of the data, >but >only at encapsulating conveniently their time-series properties. If you >feel >like carving out variables and/or lags, you're much better off with a >simultaneous equations system.
Yes, I remember. we were already talking about this. And for now the best thing will be to leave F tests of zero restrictions for endobenous variables as they are now but to add "Omit" option for deterministics, seasonals and exogenous variables. There is a simillar option in JMulTi. It's an LR (likelihood ratio) test. In "Subset restrictions" pannel you can impose zero restrictions on coefficients before estimating the model. > > Are Granger tests doable for VECMs ? As tere are no F tests in VECM > > output. (my question excludes testing beta) > >This brings back a point you raised some time ago (see >http://ricardo.ecn.wfu.edu/pipermail/gretl-users/2006-January/000326.html >and >subsequent messages). I had a look at JMulTi. They do Granger causality >tests >in cointegrated systems by using a very ingenious method, proposed by >Lütkepohl (usurprisingly) and Dolado, that bypasses most of the inferential >difficulties by estimating a levels VAR of higher order than necessary. >It's >not difficult to do the same in a script, I think (but I have to dig a >little >deeper into this). Ok. If it's possible it will be great to have it. If you remember we were talking about Forrecast error variance decompositin graph and you said that it's possible to produce it. Ok. For example, FEVD for variable X can be produced by lines (in time) of Y,Z and T variables. On x-axis could be periods(horizon) and on y-axis decompositions (up to a max number of 100). What do you say? _________________________________________________________________ Are you using the latest version of MSN Messenger? Download MSN Messenger 7.5 today! http://messenger.msn.co.uk
