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VAR Lag Exclusion Wald Tests
Posted: Mon Jan 16, 2012 11:40 pm
by irulishka
Hello.
Can you show me the formula for this test? Or maybe any book about this lag test...
waiting for an answer
thanks in advance...
Re: VAR Lag Exclusion Wald Tests
Posted: Tue Jan 17, 2012 9:26 am
by EViews Gareth
They're just standard Wald tests that the coefficients for the corresponding lags are equal to zero. Any standard text book will give you details on the formula for a Wald test.
Re: VAR Lag Exclusion Wald Tests
Posted: Thu Jan 19, 2012 2:19 am
by irulishka
I can't apply the standart formula for Join. May it be some specific features for this case, could you give me the exact formula you use for it?