Dear R Contributors
I am asking for some suggestions on how to organize output of a series of
regressions and tests in an intelligent way.
I estimate a series of Var models with increasing numbers of lags and the
perform a Wald test to control Granger Causality: I would like to learn a
way to do it that allows me not to produce copy and past code.
This is what I do:
Estimate var models with increasing number of lags,
V.6<-VAR(cbind(index1,ma_fin),p=6,type="both")
V.7<-VAR(cbind(index1,ma_fin),p=7,type="both")
V.8<-VAR(cbind(index1,ma_fin),p=8,type="both")
V.9<-VAR(cbind(index1,ma_fin),p=9,type="both")
then observe results and control significance of regressors:
summary(V.6)
summary(V.7)
summary(V.8)
summary(V.9)
summary(V.10)
then use the estimated var to perform the test:
wald_fin7.1<-wald.test(b=coef(V.7$varresult[[1]]),
Sigma=vcov(V.7$varresult[[1]]), Terms=c(2,4,6,8,10,12))
wald_fin8.1<-wald.test(b=coef(V.8$varresult[[1]]),
Sigma=vcov(V.8$varresult[[1]]), Terms=c(2,4,6,8,10,12,14))
wald_fin9.1<-wald.test(b=coef(V.9$varresult[[1]]),
Sigma=vcov(V.9$varresult[[1]]), Terms=c(2,4,6,8,10,12,14,16))
wald_fin10.1<-wald.test(b=coef(V.10$varresult[[1]]),
Sigma=vcov(V.10$varresult[[1]]), Terms=c(2,4,6,8,10,12,14,16,18))
#then collect tests result in a table:
wald_fin<-rbind(wald_fin7.1$result$chi2,
wald_fin12.1$result$chi2,wald_fin21.1$result$chi2,
wald_fin7.2$result$chi2,
wald_fin12.2$result$chi2,wald_fin21.2$result$chi2)
My idea is that it is possible to create all this variable with a loop
across the objects names but it is a level of coding much higher than my
personal knowledge and ability.
I hope anyone can help
Thanks in advance
--
Francesca
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Francesca Pancotto, PhD
Università di Modena e Reggio Emilia
Viale A. Allegri, 9
40121 Reggio Emilia
Office: +39 0522 523264
Web: https://sites.google.com/site/francescapancotto/
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