[R-SIG-Finance] Fwd: Re: Block Exogeneity Test

[Brian G. Peterson]

To the list. - Brian


-------- Forwarded Message --------
Subject: 	Re: [R-SIG-Finance] Block Exogeneity Test
Date: 	Fri, 21 Nov 2014 16:05:44 +0530
From: 	DEBASISH MAITRA <debasishmaitra at gmail.com>
To: 	Brian G. Peterson <brian at braverock.com>



Hi Brian,

Thanks for your mail.
I am specifically looking for Block Exogeneity Wald test after my VAR
model. For an example, I have three series gdp, cpi and m3. After
estimating the VAR model (with an assumption that these three variable
are stationary) among these three varables, if I really want to test
hypotheses ; lags of cpi explain current gdp, lags of cpi explain
current m3; lags of gdp explain current cpi, lags of gdp explain current
m3 etc. I should have the results look like;

Dependent variable GDP
Excluded                Chi-sq                df               prob
cpi
m3

Dependent variable cpi
Excluded               Chi-sq                 df               prob
gdp
m3

Dependent variable m3
Excluded               Chi-sq                 df               prob
gdp
cpi

Kindly look into this and suggest the way ou.


Regards,
Debasish

On Fri, Nov 21, 2014 at 3:23 PM, Brian G. Peterson <brian at braverock.com
<mailto:brian at braverock.com>> wrote:

     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
     <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 <tel:773-459-4973>
     IM: bgpbraverock

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