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Hiemstra-Jones test for Granger Non-causality

Questions and discussions on Vector Autoregressions
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Hiemstra-Jones test for Granger Non-causality

Postby vinayadhikari » Sun Apr 17, 2011 12:42 pm

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.
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Re: Hiemstra-Jones test for Granger Non-causality

Postby TomDoan » Thu May 31, 2012 3:06 pm

See the discussion in http://www1.fee.uva.nl/cendef/publications/papers/0410.pdf
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