panel_surwald

Purpose

Computes tests for Granger causality in heterogeneous mixed panels with bootstrap critical values.

Format

SURwald = Panel_SURwald(data, vnames, pmax, dmax, ic, Nboot)
Parameters:
  • data (Txk matrix) – Data to be tested with k individual variables each in a separate column.

  • vnames (String array) – Variable names.

  • pmax (Scalar) – Maximum number of lags.

  • ic (Scalar) –

    The information criterion used for choosing lags.

    1

    Akaike.

    2

    Schwarz.

    3

    t-stat significance.

    Default = 2.

  • Nboot (Scalar) – Number of bootstrap replications.

  • Ncross (Scalar) – Number of cross sections.

Returns:

SURwald (Scalar) – Panel SUR Wald statistics. Prints individual results and bootstrap critical values.

Examples

library tspdlib;

// Load panel data
data = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/pdcause.dat");

// Number of bootstrap replications
Nboot = 1000;

// Number of time periods
T = 28;

// Number of cross-sections
Ncross = 9;

// Maximum number of lags
pmax = 3;

// Information criterion;
// 1 = Akaike, 2 = Schwarz
ic = 2;

// Variable names
vnames = "y"$|"x";

SURwald = Panel_SURwald(data, vnames, pmax, ic, Nboot, Ncross);

Source

pdcause_surwald.src

See also

Functions granger(), panel_fisher(), panel_zhnc()