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vargranger

Granger (non-)causality tests from a VAR

CALLING SEQUENCE

res=vargranger(rvar,causing,caused,noprint)

PARAMETERS

Input

* rvar = a 'var' results tlist

* causing = a (j x 1) vector, the indexes of the causing variables

* caused = a (k x 1) vector, the indexes of the caused variables

* noprint = 'noprint' if the user does not to print the results

 

Output

* res = a results tlist with:

  - res('meth') = 'var Granger causality'

  -res('rvar res') = the input 'var' results tlist

  - res('causing') = the index vector of the supposed causing variables

  - res('caused') = the index vector of the supposed caused variables

  - res('chistat') = the vector of Wald statistics for non-causlity

  - res('chi_pvalue') = their p-values

  - res('chi_df') = the degrees of freedom of the chi2

  - res('f') = the Fisher statistics for non-causlity

  - res('dfnum') = the numerator degrees of freedom

  - res('dfden') = the denominator degrees of freedom

DESCRIPTION

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

EXAMPLE

global GROCERDIR;
load(GROCERDIR+'/data/lutk1.dat')
bounds('1960q4','1978q4')
results=VAR(2,'endo=delts(log(rfa_inv));delts(log(rfa_inc));delts(log(rfa_cons))')
r=vargranger(results,[1 2],3)
// provides Ganger (non-)causality test from variables delts(log(rfa_inv)) and delts(log(rfa_inc)) to variable delts(log(rfa_cons))
r=vargranger(results,'delts(log(rfa_inv))',['delts(log(rfa_inc))' 'delts(log(rfa_cons))'])
// same test but with the name of the variables instead of their order in the VAR

AUTHOR

Éric Dubois 2014

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