Adaptive Estimation of Vector Autoregressive Models with Time-Varying Variance: Application to Testing Linear Causality in Mean

By Patilea Valentin and Raissi Hamdi
Journal of Statistical Planning and Inference (2012)

  • Valentin Patilea

    CREST ENSAI

    France

  • Hamdi Raissi

    IRMAR-INSA

    France

Created

October 1, 2013

Last update

October 1, 2013

Software

Fortran

Ranking

99

Visits

2617

Downloads

125

Description

The code provides Wald tests results for testing linear Granger causality in mean in the framework of VAR models with non constant variance. A summary on bandwidth selection and the minimum eigenvalues of the estimated volatilities is displayed. The series have to be centered before proceeding to the tests. Note that the adequacy of the VAR model has to be tested before using the modified portmanteau tests available on this companion website.

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