Is possible to doing Granger test in gauss?
how can I do that?
What sort of data or model do you have in mind? The test for Granger causality would be a straightforward test, using either an F-statistic or a likelihood ratio test. The calculations for this can be done easily in GAUSS.
I want to do Hsiao’s Granger Causality.
but How I can make AR(p) in gauss?
x=is matrix 100*1
y=is matrix 100*1
y(t)=alpha+beta y(t-1)+gama e(t)
and how estimate parameters?
The GAUSS TSMT package can estimate ARIMA models.