VAR Lag Exclusion Wald Tests

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VAR Lag Exclusion Wald Tests

Postby irulishka on Mon Jan 16, 2012 11:40 pm

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...
irulishka
 
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Re: VAR Lag Exclusion Wald Tests

Postby EViews Gareth on Tue Jan 17, 2012 9:26 am

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

Postby irulishka on Thu Jan 19, 2012 2:19 am

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?
irulishka
 
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