*
* Example 17.13 from page 699
* Granger causality tests
*
cal(q) 1979
open data table17-3.prn
data(format=prn,org=columns) 1979:1 1988:4
*
* This organizes the tests for the various lag lengths by using a DOFOR loop
* which loops over a list of values. Because the individual coefficients in the
* regressions aren't particularly interesting (and are very difficult to
* interpret), we use NOPRINT on the linreg instructions. The EXCLUDE instruction
* is used to do the tests of the block zero restrictions.
*
dofor lags = 2 4 6 8
  linreg(noprint) m1
  # constant m1{1 to lags} r{1 to lags}
  exclude
  # r{1 to lags}
  linreg(noprint) r
  # constant m1{1 to lags} r{1 to lags}
  exclude
  # m1{1 to lags}
end dofor