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rolvar_granger

Granger (non-)causality tests for a rolling VAR

CALLING SEQUENCE

res=rolvar_granger(res_rolvar,causing,caused,noprint)

PARAMETERS

Input

* res_rolvar = a 'rolling var' results tlist

* option = the result the user wants to plot ('chi2 stat', 'chi2 pvalue', 'Fisher stat' or 'Fisher pvalue')

 

Output

* rvar = a results tlist with:

  * rvar('meth') = 'rolling var Granger causality'

  * rvar('rolvar res') = the input 'rolling var' results tlist

  * rvar('causing') = the index vector of the supposed causing variables

  * rvar('caused') = the index vector of the supposed caused variables

  * rvar('chi2 stat') = the vector of rolling Wald statistics of non-causality

  * rvar('chi2 pvalue') = their p-values

  * rvar('Fisher stat') = the vector of rolling statistics of non-causality in Fisher form

  * rvar('Fisher pvalue') = their p-values

DESCRIPTION

Performs Ganger (non-)causality tests for a rolling VAR.

EXAMPLE

global GROCERDIR;
load(GROCERDIR+'\data\france_maunf_survey.dat')
bounds()
resrolvar=rolvar(6,'endo=fra_past_output;fra_exp_output','nper=120','start_firstbound=1990m1','end_firstbound=2004m1')
resrolgranger=rolvar_granger(resrolvar,'fra_exp_output','fra_past_output')
// Example taken from function rovar_d; provides Granger non-causality test from France expected output balance to France past output balance
// using tlist result resrolvar

AUTHOR

Éric Dubois 2014

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