## Computing a Wald Test in a VAR

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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Anna
Posts: 3
Joined: Fri Oct 16, 2009 3:39 pm

### Computing a Wald Test in a VAR

Dear E-Viewer,

I want to do a Granger Non-Causality test in EViews within a VAR --- but --- I want to exclude the last lag in doing so. That means I just want to test whether the coefficients a_1, ... a_(p-1) are significantly different from zero. I do not want to include a_p in this test.

Any suggestion how this is easily done?

I am not that fit in Eviews language, so writing a proc myself is no option. I have actually never written anything in that language (not yet, at least).

Any help is highly appreciated!

Love,
Anna

EViews Gareth
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### Re: Computing a Wald Test in a VAR

Convert the VAR into a System (by clicking on Proc->Make System, then choosing either of the ordering options). Then you can perform a Wald Test from the View->Coefficient Tests menu.

Anna
Posts: 3
Joined: Fri Oct 16, 2009 3:39 pm

### Re: Computing a Wald Test in a VAR

Wow, thanks for the quick answer! Highly appreciated!

Another short one: is there any way to abbreviate c(1)=c(2)=....=c(10000)=0, like in the lag notation where we would write varname(-1 to -1000)? Something like c(1 to 12)=0 or so?

Kisses
Anna!

jiya
Posts: 30
Joined: Sat May 16, 2009 8:25 am

### Re: Computing a Wald Test in a VAR

hai! Anna tx a lot , i hv bn looking for this procedure for a long tm. tx

Szi
Posts: 15
Joined: Sun May 16, 2010 8:21 pm

### Re: Computing a Wald Test in a VAR

Hi Gareth (or someone else who may know).

Ive had the same problem, only EViews wont allow me to estimate a Wald statistic from a system - I get the error message 'System estimates are not valid."
Does this work in EViews 6?

Thanks for the help,
Simon

EViews Gareth
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### Re: Computing a Wald Test in a VAR

Yes it does work in EViews 6. You have to estimate the system first though.

Szi
Posts: 15
Joined: Sun May 16, 2010 8:21 pm

### Re: Computing a Wald Test in a VAR

Great, thank you!

Vaal1
Posts: 8
Joined: Wed Jul 29, 2009 6:16 am

### Re: Computing a Wald Test in a VAR

Is there any way to compute a Wald test where the equal sign is not used, such as c(1)<c(2) ? I have tried this, but it doesnt seem to work.

EViews Gareth
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### Re: Computing a Wald Test in a VAR

sulistyo ningsih
Posts: 1
Joined: Wed May 25, 2011 7:28 pm

### Re: Computing a Wald Test in a VAR

I'm the new user of E-views program. How can I test the toda yamamoto causality test in VAR system?
I need your help. Thank you very much..

bukhari.aatif
Posts: 7
Joined: Fri Sep 30, 2011 2:38 pm

### Re: Computing a Wald Test in a VAR

sulistyo ningsih wrote:I'm the new user of E-views program. How can I test the toda yamamoto causality test in VAR system?
I need your help. Thank you very much..

Exactly the same question? Is there anybody to help in testing the Toda-Yamoto causality in VAR system?
Direly need help!!
Trying to meet the deadlines, but not being able to estimate the model!!!

Four variables, Real Per Capita Income (y), Death Rate (d), Infant Mortality Rate (im) and Fertility Rate (f)

Anyone there to help?

EViews Gareth
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### Re: Computing a Wald Test in a VAR

There's nothing built in that will perform that test.

bukhari.aatif
Posts: 7
Joined: Fri Sep 30, 2011 2:38 pm

### Re: Computing a Wald Test in a VAR

Alright. Thanks a ton for your response.
But for other tests such as Granger Causauty, if the model is estimated through syntax, rather than the inbuilt function, the results differ.
That's why I'm hesitating to run the model through syntax. Is there any guide/guidance available for learning to run that model on Eviews?

bukhari.aatif
Posts: 7
Joined: Fri Sep 30, 2011 2:38 pm

### Re: Computing a Wald Test in a VAR

EViews Gareth wrote:Convert the VAR into a System (by clicking on Proc->Make System, then choosing either of the ordering options). Then you can perform a Wald Test from the View->Coefficient Tests menu.

Please do me a favor of quick response. 4 days left in paper submission.

I've estimated the VAR for Toda Yamamoto.....Now I need to execute WALD restrictions. But the method you referred, is not working in Eviews 5.0. Having converted the VAR into a system (either by Lag or by Variable), the VIEW menu contains only three options (System Specifications, Gradient and Derivatives, and Label). There is no COEFFICIENT TEST, from where I could estimate WALD.

Is there any way to estimate WALD on VAR in Eviews 5.0????

Direly need quick response please !!!!

EViews Gareth
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### Re: Computing a Wald Test in a VAR

You have to estimate the system first.