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Gareth, this is just spectacular! Thanks, a lot.

Thanks, Gareth. However, issue still remains of how to call the optimal lags selected in step 1. So for each pair, step 1 creates a vector with 5 rows and 1 column that correspond to 5 lag length selection criteria. Number 4 in this vector is SC which is what I plan to use. Now suppose I create a te...

I apologize for the confusion. The following command: freeze(waldtable) eq_{%iname}_{%jname}.wald c(6)=c(7)=c(8)=c(9)=0 ' perform wald test and freeze it into a table called WaldTable is testing for Granger causality of Z for Y. If we do not reject this null, then all lags of Z do not enter the Y re...

I am sorry, there was a typo in the step 2 wald test. It should read:

freeze(waldtable) eq_{%iname}_{%jname}.wald c(6)=c(7)=c(8)=c(9)=0 ' perform wald test and freeze it into a table called WaldTable

Hi Gareth The code works perfectly for me and saves the lag selections by 5 criteria for each pair as vector in eviews. I now want to test Granger Causality between each pair of Y and Z using the optimal lags. I am not sure how to do that. I have written a code that does this for a lag length of 4 f...

Thanks, Gareth. I really appreciate your help.

Hi I have been working on estimating a VAR model. I have two sets of variables..each group has 51 variables..but I will be estimating the model in pairs so that y(i) and x(i) will form one VAR model, y(i+1) and 'x(i+1) forms second var model and so on...so I will have 51 bi-variate VAR models. Enclo...