Computing a Wald Test in a VAR

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Anna
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Computing a Wald Test in a VAR

Postby Anna » Fri Oct 16, 2009 3:45 pm

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

Postby EViews Gareth » Fri Oct 16, 2009 4:25 pm

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.
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Anna
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Re: Computing a Wald Test in a VAR

Postby Anna » Fri Oct 16, 2009 4:54 pm

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
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Re: Computing a Wald Test in a VAR

Postby jiya » Mon Dec 21, 2009 11:19 am

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

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

Re: Computing a Wald Test in a VAR

Postby Szi » Sun May 16, 2010 9:43 pm

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

Postby EViews Gareth » Sun May 16, 2010 9:47 pm

Yes it does work in EViews 6. You have to estimate the system first though.
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Szi
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Re: Computing a Wald Test in a VAR

Postby Szi » Sun May 16, 2010 10:31 pm

Great, thank you!

Vaal1
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Re: Computing a Wald Test in a VAR

Postby Vaal1 » Mon May 23, 2011 5:46 pm

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

Postby EViews Gareth » Mon May 23, 2011 6:01 pm

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sulistyo ningsih
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Re: Computing a Wald Test in a VAR

Postby sulistyo ningsih » Wed May 25, 2011 7:44 pm

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
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Re: Computing a Wald Test in a VAR

Postby bukhari.aatif » Fri Sep 30, 2011 2:46 pm

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

Postby EViews Gareth » Fri Sep 30, 2011 2:47 pm

There's nothing built in that will perform that test.
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bukhari.aatif
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Re: Computing a Wald Test in a VAR

Postby bukhari.aatif » Sun Oct 02, 2011 7:30 am

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
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Re: Computing a Wald Test in a VAR

Postby bukhari.aatif » Wed Oct 26, 2011 10:32 am

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.


Hey Admin....
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

Postby EViews Gareth » Wed Oct 26, 2011 10:37 am

You have to estimate the system first.
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