Re: [Gretl-users] Non linear Granger causality tests
Am 20.04.2016 um 15:02 schrieb JOSE FRANCISCO PERLES RIBES:
Dear list:
First of all excuse me because it is not exactly an specific Gretl
issue. But, I'm trying for several days to find some code in Gretl,
Eviews or other software (R,Gauss, etc.) to perform the Hiemstra and
Jones (1994) or the Dicks and Pachenko (2006) non-linear causality test
and I can't find it.
Somebody on the list has a code or knows any software that performs
these tests?.
Thanks in advance and sorry for any inconvenience.
Hi,
in the future it would be helpful if you could add some more details and
references, instead of letting others do the work. For example, it turns
out it's "Diks" not Dicks, and I can only speculate why you spell it
that way.
Also I found this interesting:
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.465.3805&rep...
Having said that, sorry no I'm not aware of any implementation for that.
But BTW, these tests also seem to be non-parametric, not only
non-linear. Doing it non-linearly but parametric should be easier I
think, but of course it depends whether that would be good enough for you.
cheers,
sven