* Testing for Granger causality * Example from section 18.5 (pages 767-770) of * Judge, Hill, Griffiths, Lutkepohl and Lee, 1988, * Introduction to the Theory and Practice of Econometrics, * 2nd Edition, Wiley. SAMPLE 1 75 READ (judge18.txt) Y1 Y2 * Consider a VAR(4) model SAMPLE 1 71 * Test H0: Y2 does not Granger-cause Y1 * The test statistic is the JOINT-F on Y2 OLS Y1 Y1(1.4) Y2(1.4) * Test H0: Y1 does not Granger-cause Y2 * The test statistic is the JOINT-F on Y1 OLS Y2 Y1(1.4) Y2(1.4) STOP