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

[Brian G. Peterson]

For the Wald-type test, see

###

?causality

###

the vars package calls this 'instantaneous causality'.

You will need to set the 'cause' parameter to a vector of your 
predictors.  In your example:

###

cause=c("gdp","cpi","m3")

# note that R is case sensitive, and your
# non-reproducible example mixed case

###

You likely also want boot=TRUE and boot.runs set to some value 
appropriate to your data, in most formulations of the test procedure 
you're seeking.

As you've described it, you're looking for bivariate tests, not truly a 
block exogeneity test, which tests whether the group of variables or 
'block' are tested to see if the *block* causes any of the observed 
lags.  It appears from the output that you request that you are looking 
for pairwise causality as individual variables are tested against the 
rest of the model.

Regards,

Brian

On 11/21/2014 04:49 AM, Brian G. Peterson wrote:
> 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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-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock