Is possible to doing Granger test in gauss?

Is possible to doing Granger test in gauss?

how can I do that?

4 Answers



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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.



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thank you

 



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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?

 

 



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The GAUSS TSMT package can estimate ARIMA models.

aptech

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