[R-SIG-Finance] Block Exogeneity Test

[Brian G. Peterson]

On 11/21/2014 03:31 AM, DEBASISH MAITRA wrote:
> I am Debasish Maitra. I am trying to run block exogeneity test in R (vars
> package) after a VAR model, but I am not able to find anything out to do
> this.
>
> It would be of great help if you kindly tell me how can I run this.

It would be a great help if you followed the posting guide:

http://www.r-project.org/posting-guide.html

and provided a reproducible example.  Use a data set included with the 
vars package, or some other data set included with a different R 
package, and tell us in a reproducible way what you've already tried, 
and where you're stuck.

I don't believe that the 'vars' package includes a function for a block 
exogeneity test on its model output.

The  MSBVAR package provides bivariate Granger causality tests in lieu 
of a block exogeneity test.

It would also help if you would be explicit about which form of 
exogeneity test you are trying to apply, with a reference to the paper 
you hope to use the technique from.  I'm aware of at least two different 
approaches, which each have different assumptions.

Regards,

Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock