Matlab实现非线性格兰杰因果关系检验

不知道检验结果怎么看？怎么观察显著性呢？还有，结果中x does not granger cause y (UNIF)括号里是什么意思？有没有热心朋友教一下！

有没有matlab的格兰杰因果检验的程序？

请问有没有门限自回归模型的程序包啊？可以给币····

求论坛高人告知具体使用步骤呀

买了附件，楼主不告知使用步骤，用不了。这是个问题呀

这个号 但是币还不够呢

谢谢！

readme.txt 文件写得很清楚如何使用。

This is a Windows friendly version of the test for non-parametric Granger Causality.

This version is developed by Valentyn Panchenko.
For questions/comments email v.panchenko@unsw.edu.au

PROGRAM TO RUN:
GCtest-win.exe

INSTRUCTIONS:
Input file1 and input file2 should be single column files of
numerical data in txt format. Columns need to be the same
length, otherwise you will receive an error message.

You may either use a slider or enter the embedding dimention
and bandwidth manually.

Embedding dimension = 1 + maximum lag (Lx=Ly).
Defauld bandwidth choice is 0.5, read the paper for more details.

EXAMLE:
You may try using in1.txt and in2.txt as an example.

Expected output:

Series length=4136, embedding dimension=2, bandwidth=0.500000

Null hypothesis: in1.txt does not cause in2.txt
T statistics=1.448, p-value=0.07380

Null hypothesis: in2.txt does not cause in1.txt
T statistics=1.930, p-value=0.02678


NOTE: you need to keep all the .dll files in the program
directory for program to run.


Please cite:

Diks, C. & Panchenko V. (2006) A new statistic and practical guidelines
for nonparametric Granger causality testing, 2006, Journal of
Economic Dynamics and Control, 30, 1647-1669

       
Diks, C. & Panchenko, V. (2005) A note on the Hiemstra-Jones test for Granger
non-causality. Studies in Nonlinear Dynamics & Econometrics, 9(2).

蒋科学 发表于 2011-3-24 22:42
(我将非线性格兰杰检验的原理上传上来，其中还有一片中文的文献，供大家参考一下。

谢谢啦，很有用