Block significance and causality tests
Posted: Sun Feb 02, 2014 5:27 am
hi everybody
It is likely that, when a VAR includes many lags of variables, it will be difficult to see which sets of variables have significant effects on each dependent variable and which do not. In order to address this issue, tests are usually conducted that restrict all of the lags of a particular variable to zero.
i know thant i can do this with "system object" but i lose the options of "VAR object".
it's useful to add an option "restrict VAR" in VAR object.
References
1-Real Estate Modelling and Forecasting, Chris Brooks, Sotiris Tsolacos, CUP. chapter 11 pp 347-352
or
2-Introductory Econometrics for Finance, Chris Brooks, 2nd edition, CUP. chapter 6 pp 297-298
thanks in advance.
It is likely that, when a VAR includes many lags of variables, it will be difficult to see which sets of variables have significant effects on each dependent variable and which do not. In order to address this issue, tests are usually conducted that restrict all of the lags of a particular variable to zero.
i know thant i can do this with "system object" but i lose the options of "VAR object".
it's useful to add an option "restrict VAR" in VAR object.
References
1-Real Estate Modelling and Forecasting, Chris Brooks, Sotiris Tsolacos, CUP. chapter 11 pp 347-352
or
2-Introductory Econometrics for Finance, Chris Brooks, 2nd edition, CUP. chapter 6 pp 297-298
thanks in advance.
