*
* CAUSAL.RPF
* RATS Version 8, User's Guide, Example 3.2
*
cal(m) 1959:1
allocate 2006:4
open data haversample.rat
data(format=rats) / gdph fm1
log gdph
log fm1
*
* Sims' test
*
set filtm1  = fm1-1.50*fm1{1}+.5625*fm1{2}
set filtgnp = gdph-1.50*gdph{1}+.5625*gdph{2}
*
linreg filtgnp
# constant filtm1{-4 to 8}
exclude(title="Sims Causality Test")
# filtm1{-4 to -1}
*
* Geweke-Meese-Dent variation
*
linreg gdph
# constant fm1{-4 to 8} gdph{1 to 8}
exclude(title="Geweke-Meese-Dent Causality Test")
# fm1{-4 to -1}
*
* Granger test
*
linreg fm1
# constant fm1{1 to 8} gdph{1 to 8}
exclude(title="Granger Causality Test")
# gdph{1 to 8}