Hi,
Iam trying to estimate speccaus(variables=y1 y2, slag=4,e) with y1 and y2 being asset returns. I get the prompt "VAR(0),VAR(1) or VAR(2),the test can not be performed", although I specify the number of lags to 4 and not use the maxlags argument. Where is the problem?
Best regards,
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- Fri Feb 21, 2025 8:45 am
- Forum: Add-in Support
- Topic: Spectral Granger Causality Test*
- Replies: 15
- Views: 153499