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.
Himpe Christian and Ohlberger Mario