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Block Exogeneity Test

2 messages · DEBASISH MAITRA, Brian G. Peterson

Original
DEBASISH MAITRA
# 
Dear All,

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.

Thanks,
Regards,
Debasish Maitra
Brian G. Peterson
#
On 11/21/2014 03:31 AM, DEBASISH MAITRA wrote:
It would be a great help if you followed the posting guide:

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