Hiemstra-Jones test for Granger Non-causality

Questions and discussions on Vector Autoregressions
Post Reply
vinayadhikari
Posts: 5
Joined: Fri Aug 20, 2010 12:17 pm

Hiemstra-Jones test for Granger Non-causality

Unread post by vinayadhikari »

Does anyone have the code for Heismstra-Jones test for Granger Non-causality? It is a modified version of Baek and Brock (1992) test which allows for non-linear Granger causality. Thanks.
Top
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Hiemstra-Jones test for Granger Non-causality

Unread post by TomDoan »

See the discussion in http://www1.fee.uva.nl/cendef/publicati ... s/0410.pdf
Top
Post Reply

Return to “VARs (Vector Autoregression Models)”