Hello.
Can you show me the formula for this test? Or maybe any book about this lag test...
waiting for an answer
thanks in advance...
VAR Lag Exclusion Wald Tests
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Re: VAR Lag Exclusion Wald Tests
They're just standard Wald tests that the coefficients for the corresponding lags are equal to zero. Any standard text book will give you details on the formula for a Wald test.
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Re: VAR Lag Exclusion Wald Tests
I can't apply the standart formula for Join. May it be some specific features for this case, could you give me the exact formula you use for it?
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