granger causality

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maoqi
Posts: 17
Joined: Sun Feb 16, 2014 10:49 pm

granger causality

Postby maoqi » Thu Apr 03, 2014 1:55 pm

Thank you for reading this.
I input the following for maximum likehood, but how can I afterwards test the LR test of parameter. Thank you very much. Please do give me some advices.

dependent variables: dls, dcs = independent variables: ls, cs, pl, pk, pe, y(output)

D(ls) = -c(1)*d(ls(-1)) - c(2)*d(cs(-1)) + c(3)*d(pl) + c(4)*d(pk) + c(5)*d(pe) + c(6)*d(y) - c(7)*ls(-1) - c(8)*cs(-1)
+c(7)*(c(9)+c(10)*log(pl)+c(11)*log(pk)+(-c(10)-c(11))*log(pe)+c(13)*T)
+c(8)* (c(22)+c(11)*log(pl)+(-c(11)-c(25))*log(pk)+c(25)*log(pe) - c(13) *T)

D(cs) = -c(14)*d(ls(-1)) - c(15)*d(cs(-1)) + c(16)*d(pl) + c(17)*d(pk) + c(18)*d(pe) + c(19)*d(y) - c(20)*ls(-1) - c(21)*cs(-1)
+c(20)* (c(9)+c(10)*log(pl)+c(11)*log(pk)+(-c(10)-c(11)) *log(pe)+c(13) *T)
+c(21)*(c(22)+c(11)*log(pl)+(-c(11)-c(25))*log(pk)+c(25)*log(pe)-c(13)*T)

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