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granger causality test with newey west correction?
Posted: Fri Sep 17, 2010 6:33 am
by kanonathena
Is there a way to extract the program code of granger causality test so I add newey west correction .ls(n) ? what about codes of other tests in eviews6
Re: granger causality test with newey west correction?
Posted: Fri Sep 17, 2010 8:11 am
by EViews Gareth
The inbuilt procedures are written in a completely different environment from the EViews programming language, thus there is no way to use the source code (which is proprietary anyway).
Re: granger causality test with newey west correction?
Posted: Mon Sep 27, 2010 11:43 am
by EViews Glenn
I will add, however, that the Granger causality test is easy to run yourself by estimating the corresponding equation(s) using the equation object. Adding Newey-West there is easy. Then compute the Wald test for the lags in question.