NonLinear Granger Causality Test

Discussion of models with structural breaks or endogenous switching.
Post Reply
Tony
Posts: 4
Joined: Sun Oct 31, 2010 8:09 pm

NonLinear Granger Causality Test

Unread post by Tony »

Dear Friends,

Is anyone have a piece of RATS code to do the nonlinear Granger causality test proposed by Joakim Skalin and Timo Teravirta, "Another Look at Swedish Business Cycles, 1861-1988", Journal of Applied Econometrics, Vol. 14, No. 4,
1999, pp. 359-378.

Thank you very much
Top
TomDoan
Posts: 7826
Joined: Wed Nov 01, 2006 4:36 pm

Re: NonLinear Granger Causality Test

Unread post by TomDoan »

See http://www.estima.com/forum/viewtopic.php?f=8&t=1484
Top
Post Reply

Return to “Structural Breaks and Switching Models”