Cees Diks and Marcin Wolski, "Nonlinear Granger Causality (NGC) --
Guidelines for Multivariate Analysis", Journal of Applied
Econometrics, Vol. 31, No. 7, 2016, pp. 1333-1351.

The ZIP file dw-files.zip contains three folders: Grains, PowerSize,
and OptimalBandwidth. They are described in detail below.

All files are ASCII files in DOS format. Unix/Linux users should use
"unzip -a".

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Grains

This folder contains all the data for the US grain market analysis
performed in the paper. All the data were downloaded from Bloomberg
and comprise daily returns on wheat, corn and beans traded on Chicago
Board of Trade (CBoT). The weather variable is obtained by using
rolling monthly futures on Heating Degree Days (HDD), averaged over
Philadelphia, New York, Portland, Chicago and Cincinnati. The time
span covers the period from 09/01/2010 until 03/06/2013. The raw
returns are provided in the files: 'beans.txt', 'corn.txt',
'weather.txt' and 'wheat.txt'.The folders 'NoWeather' and
'WithWeather' contain the residuals from the pairwise and system VAR
specification without and with conditioning on HDD. In these folders,
the name before "_" describes the pair and after "_" is the
corresponding grain for the pairwise setting. The system setting
residuals start with "sys_". 

The folder also contains C programs to calculate the p-values for the NGC
test:

'dp.c' -> calculates the original DP statistics with Gaussian kernel

'dsdp.c' -> calculates the sharpened DP statistics in the 3-variate setting

'dsdp_4vars.c' -> calculates the sharpened DP statistics in the 4-variate
      setting

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PowerSize

This folder contains files to redo the power-size analysis from the
paper. The C software calculates the p-values for the simulated data,
satisfying the null (files beginning with "h0_") and violating the
null (beginning with "h1_") for different time series lengths and test
specifications. For instance, the file 'h0_100.c' is the code to run
the size simulation for the sample length of 100 (and 10000
replications). Catalogs ending with "oldEps" denote the old DP test
specification, "noDS" denote DS-implied bandwidths but no DS
adjustment, and DS denote full DS adjustment. The folder
'PowerComparison' includes the source files for the power comparison
from Table 2, the "oldEps" and "noDS" notation still holds and the
last part of the file names denotes the magnitude of parameter a. The
outputs are stored in the respective csv files.

######

OptimalBandwidth

This folder contains the R code to generate the optimal bandwidth
values for sw and q2 from the paper for different sample length (in
the paper we take the C^* value from the n=5000 sample, however, we
provide the code to calculate it on different samples). The results
are stored in catalog Results, and file eps.R calculates averages over
the entire sample.