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
Chapter-12-data.zip
Example_12-6.zip
Exercise_12-3.zip
Electricity.dat
ExchangeRates.dat
Ice.dat
SP500.dat
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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).