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  • Home
  • Publications
  • Springer Book
    • Table of Content
    • Chapter 1
    • Chapter 2
    • Chapter 3
    • Chapter 4
    • Chapter 5
    • Chapter 6
    • Chapter 7
    • Chapter 8
    • Chapter 9
    • Chapter 10
    • Chapter 11
    • Chapter 12
    • Errata
    • Reviews
  • DATA SETS
  • Announcement
  • CONTACT
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Chapter 12: Vector Semi- and Nonparametric Methods

Data Sets
Chapter-12-data.zip
Example_12-6.zip
Exercise_12-3.zip
Electricity.dat
ExchangeRates.dat 
Ice.dat
SP500.dat  
Computer Codes
Example:
​Example_12-1.zip
Example_12-2.zip 
Example_12-3.zip
​Example_12-4.zip
Example_12-5.zip
Example_12-6.zip 
​
Exercises:
Exercise_12-2.zip 
Exercise_12-3.zip  

Miscellanea:
Anoruo-noncausality.zip  
Hiemstra-Jones.r ​
POLYMARS.zip 

VFCAR

​
​(Figures)
(M code)
(M & R codes)
(R code)
(F code and renamed exe files)
(C source code and a Linux/Windows executable (renamed); M code)


(M code)
(C source codes and Linux/Windows executables (renamed files))


(M code)
(R code)
(S-Plus; Change the filename POLYMARS_HLP.txt into POLYMARS.HLP)
(F & M codes)
​Links to  Websites with  Supplementary Material
  • Click on the following link for getting access to Cees Diks' website  with C-sources and Linux/Windows executables plus MATLAB code  for generating the empirical results (Table 3) of the DP (2006, J. Economic Dynamics & Control) paper. For the sharpened DP test statistic, C source code is available at the website of  the J. of Applied Econometrics; see also  the website of Marcin Wolski.​
  • Click on the following link for getting access to Valentyn Panchenko's website  with E&F chaos - a user friendly software package for nonlinear economic dynamics, and  with a Windows friendly version and C source code of the DP (2006, J. of Economic Dynamics & Control) test statistic (and a variant).
Last modified: November, 2020

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