Test for Nonlinear Granger Causality

[felix005]

Hi,

I am looking to conduct a test for nonlinear granger causality along the lines of the test in Hiemstra & Jones 1994.

- Is there a package (for any programme/language) available that does this? Where can I find it?

- If not, how would you proceed in getting that test done?

Thanks for your help!

Felix

p.s.: I am fairly new to eviews and ask you to excuse any newbeeisms :D

[bangboo]

Hi,

I am looking to conduct a test for nonlinear granger causality along the lines of the test in Hiemstra & Jones 1994.

- Is there a package (for any programme/language) available that does this? Where can I find it?

- If not, how would you proceed in getting that test done?

Thanks for your help!

Felix

p.s.: I am fairly new to eviews and ask you to excuse any newbeeisms :D

You can find a program in the menu"Quick-Group statistics-Granger causality test"in a Group data.

[felix005]

Hi bangboo, thanks for your fast answer.

the problem with the Granger Causality test offered by EVIEWS is that it is, as far as I know, linear and not nonlinear (Should I be wrong, please correct me).

I am however looking to perform tests for both linear and nonlinear G-causality so that I need a different one as well.

Sincerely, Felix

[khan]

Hello dear all,
i also need to apply Hiemstra andJones(1994) in my studies.
So far i searched alot about the test in EViews but couldn't find.
Can any share it? it shell be highly appreciated!