panel_surwald¶
Purpose¶
Testing 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¶
new;
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);