How to run Time Varying Granger Causality (TVGC) in Matlab ?

27 August 2023 0 2K Report

Hello EVERYONE

I am trying to make a Time Varying Granger Causality (TVGC) analysis using the original code provided by Shi, Phillips and Hurn (2018)

I successfully made the replication with the very sample used by the author of the codes, but when trying with my own sample I got stocked on producing the graphs of Wald test and associated critical values.

I wonder whether you can provide me with some clues to overcome that issue

The codes are attached bellow

Thank You

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