Block Exogeneity in VAR
Posted: Mon Jul 26, 2010 11:42 am
Hello,
I am totally confused. I read many, many journal papers trying to understand the exact interpretation of " Exluded ALL" p-value.
If the p-value, for example, is .5 does that mean that variable can be removed from VAR and it can be used as X in VARX model?
Related question: Consider the following Granger Causality results of a VAR.
Dependent variable: DLFTA
Excluded Chi-sq df Prob.
DIFRS 0.226240 2 0.8930
DIV 1.377488 2 0.5022
DLDIV 5.078153 2 0.0789
All 6.4484 6 0.3749
In the above table why do we get DLDIV Granger cause DLFTA, but all other variables jointly do not cause DLFTA. Is this a contradiction, how do I
explain it?
Thanks in advance,
Herbert
I am totally confused. I read many, many journal papers trying to understand the exact interpretation of " Exluded ALL" p-value.
If the p-value, for example, is .5 does that mean that variable can be removed from VAR and it can be used as X in VARX model?
Related question: Consider the following Granger Causality results of a VAR.
Dependent variable: DLFTA
Excluded Chi-sq df Prob.
DIFRS 0.226240 2 0.8930
DIV 1.377488 2 0.5022
DLDIV 5.078153 2 0.0789
All 6.4484 6 0.3749
In the above table why do we get DLDIV Granger cause DLFTA, but all other variables jointly do not cause DLFTA. Is this a contradiction, how do I
explain it?
Thanks in advance,
Herbert