Example 12.6 (see also Exercise 12.3)
File: Readme-Output-HJ-DP.txt

Purpose: Computing p-values and values of the test statistic Q_{T,W}(h) (Hiemstra-Jones)
         and the modified HJ test statistic Q^{*}_{T,W}(h) (Diks-Panchenko)

Use executable (C code): hjt2_tval.exe (c:\ ... \ >hjt2_tval);
               see the renamed file: hjt2_tva_exe.txt

with h (bandwidth) = 1.5

INPUT files for Period P1:
y1flip.dat     = deltaC.dat
y2flip.dat     = deltaO.dat
dust1flip.dat  = dust-flux.dat
insol1flip.dat = insolation.dat

EXAMPLE:
Input file 1: y1flip.dat
216 data read
Input file 2: y2flip.dat
216 data read
epsilon=1.500000

OUTPUT:
1) y1flip - y2flip
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Null hypothesis: y1flip does not Granger cause y2flip

lX=lY=1, p_HJ=0.001984 T_HJ=2.880712 p_T2=0.004362  T_T2=2.622670
lX=lY=2, p_HJ=0.098811 T_HJ=1.288357 p_T2=0.086493  T_T2=1.362672
lX=lY=3, p_HJ=0.068767 T_HJ=1.485037 p_T2=0.053631  T_T2=1.610621
lX=lY=4, p_HJ=0.120368 T_HJ=1.173148 p_T2=0.108846  T_T2=1.232690
lX=lY=5, p_HJ=0.029587 T_HJ=1.886893 p_T2=0.034600  T_T2=1.817117
lX=lY=6, p_HJ=0.020230 T_HJ=2.049014 p_T2=0.040766  T_T2=1.741862
lX=lY=7, p_HJ=0.045472 T_HJ=1.690436 p_T2=0.059292  T_T2=1.560742
lX=lY=8, p_HJ=0.052380 T_HJ=1.622204 p_T2=0.068081  T_T2=1.490237

y2flip does not granger cause y1flip
lX=lY=1, p_HJ=0.000072 T_HJ=3.800193 p_T2=0.000029  T_T2=4.019966
lX=lY=2, p_HJ=0.002861 T_HJ=2.763336 p_T2=0.002728  T_T2=2.778807
lX=lY=3, p_HJ=0.005525 T_HJ=2.541085 p_T2=0.008879  T_T2=2.370626
lX=lY=4, p_HJ=0.005176 T_HJ=2.563825 p_T2=0.011093  T_T2=2.287169
lX=lY=5, p_HJ=0.015579 T_HJ=2.155042 p_T2=0.032081  T_T2=1.851057
lX=lY=6, p_HJ=0.013316 T_HJ=2.216861 p_T2=0.021441  T_T2=2.024857
lX=lY=7, p_HJ=0.023581 T_HJ=1.984835 p_T2=0.029748  T_T2=1.884511
lX=lY=8, p_HJ=0.037294 T_HJ=1.782991 p_T2=0.039340  T_T2=1.758397

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
2) y1flip - dust1flip

y1flip does not granger cause dust1flip
lX=lY=1, p_HJ=0.914624 T_HJ=-1.369793 p_T2=0.825488  T_T2=-0.936483
lX=lY=2, p_HJ=0.959360 T_HJ=-1.743308 p_T2=0.959401  T_T2=-1.743780
lX=lY=3, p_HJ=0.862524 T_HJ=-1.091728 p_T2=0.855118  T_T2=-1.058640
lX=lY=4, p_HJ=0.891236 T_HJ=-1.233127 p_T2=0.886009  T_T2=-1.205574
lX=lY=5, p_HJ=0.795727 T_HJ=-0.826455 p_T2=0.758029  T_T2=-0.699976
lX=lY=6, p_HJ=0.880635 T_HJ=-1.178168 p_T2=0.824006  T_T2=-0.930740
lX=lY=7, p_HJ=0.626708 T_HJ=-0.323148 p_T2=0.490090  T_T2=0.024843
lX=lY=8, p_HJ=0.425192 T_HJ=0.188627 p_T2=0.489366  T_T2=0.026659

dust1flip does not granger cause y1flip
lX=lY=1, p_HJ=0.108310 T_HJ=1.235568 p_T2=0.043575  T_T2=1.710625
lX=lY=2, p_HJ=0.078904 T_HJ=1.412479 p_T2=0.060764  T_T2=1.548391
lX=lY=3, p_HJ=0.029944 T_HJ=1.881623 p_T2=0.051312  T_T2=1.632263
lX=lY=4, p_HJ=0.017626 T_HJ=2.105459 p_T2=0.053366  T_T2=1.613062
lX=lY=5, p_HJ=0.021089 T_HJ=2.031763 p_T2=0.058200  T_T2=1.570065
lX=lY=6, p_HJ=0.032503 T_HJ=1.845216 p_T2=0.103617  T_T2=1.261207
lX=lY=7, p_HJ=0.017735 T_HJ=2.102958 p_T2=0.096392  T_T2=1.302387
lX=lY=8, p_HJ=0.018817 T_HJ=2.078812 p_T2=0.131202  T_T2=1.120726

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
3) y1flip - insol1flip

y1flip does not granger cause insol1flip
lX=lY=1, p_HJ=0.765230 T_HJ=-0.723227 p_T2=0.780494  T_T2=-0.773863
lX=lY=2, p_HJ=0.929114 T_HJ=-1.469223 p_T2=0.931628  T_T2=-1.488023
lX=lY=3, p_HJ=0.960489 T_HJ=-1.756389 p_T2=0.973753  T_T2=-1.939059
lX=lY=4, p_HJ=0.942492 T_HJ=-1.576040 p_T2=0.957880  T_T2=-1.726597
lX=lY=5, p_HJ=0.850300 T_HJ=-1.037720 p_T2=0.888850  T_T2=-1.220436
lX=lY=6, p_HJ=0.695691 T_HJ=-0.512048 p_T2=0.735361  T_T2=-0.629109
lX=lY=7, p_HJ=0.642603 T_HJ=-0.365425 p_T2=0.686445  T_T2=-0.485798
lX=lY=8, p_HJ=0.455359 T_HJ=0.112134 p_T2=0.525828  T_T2=-0.064786

insol1flip does not granger cause y1flip
lX=lY=1, p_HJ=0.040256 T_HJ=1.747723 p_T2=0.026400  T_T2=1.936546
lX=lY=2, p_HJ=0.042249 T_HJ=1.725158 p_T2=0.041097  T_T2=1.738096
lX=lY=3, p_HJ=0.052121 T_HJ=1.624624 p_T2=0.044359  T_T2=1.702201
lX=lY=4, p_HJ=0.166655 T_HJ=0.967467 p_T2=0.198904  T_T2=0.845542
lX=lY=5, p_HJ=0.159807 T_HJ=0.995252 p_T2=0.185415  T_T2=0.894921
lX=lY=6, p_HJ=0.080704 T_HJ=1.400355 p_T2=0.089524  T_T2=1.343695
lX=lY=7, p_HJ=0.160096 T_HJ=0.994065 p_T2=0.102716  T_T2=1.266227
lX=lY=8, p_HJ=0.043275 T_HJ=1.713886 p_T2=0.073692  T_T2=1.448836

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
4) y2flip - insol1flip

y2flip does not granger cause insol1flip
lX=lY=1, p_HJ=0.794889 T_HJ=-0.823504 p_T2=0.806738  T_T2=-0.865940
lX=lY=2, p_HJ=0.119595 T_HJ=1.177015 p_T2=0.076497  T_T2=1.429034
lX=lY=3, p_HJ=0.171299 T_HJ=0.949043 p_T2=0.128297  T_T2=1.134480
lX=lY=4, p_HJ=0.136106 T_HJ=1.097981 p_T2=0.148290  T_T2=1.043796
lX=lY=5, p_HJ=0.156404 T_HJ=1.009349 p_T2=0.258049  T_T2=0.649371
lX=lY=6, p_HJ=0.243079 T_HJ=0.696431 p_T2=0.375835  T_T2=0.316439
lX=lY=7, p_HJ=0.410826 T_HJ=0.225421 p_T2=0.474504  T_T2=0.063953
lX=lY=8, p_HJ=0.605494 T_HJ=-0.267594 p_T2=0.677456  T_T2=-0.460597

insol1flip does not granger cause y2flip
lX=lY=1, p_HJ=0.189186 T_HJ=0.880901 p_T2=0.172707  T_T2=0.943523
lX=lY=2, p_HJ=0.039576 T_HJ=1.755631 p_T2=0.033274  T_T2=1.834710
lX=lY=3, p_HJ=0.114476 T_HJ=1.203061 p_T2=0.040134  T_T2=1.749128
lX=lY=4, p_HJ=0.172674 T_HJ=0.943651 p_T2=0.091491  T_T2=1.331627
lX=lY=5, p_HJ=0.267098 T_HJ=0.621613 p_T2=0.088120  T_T2=1.352420
lX=lY=6, p_HJ=0.329071 T_HJ=0.442481 p_T2=0.120549  T_T2=1.172246
lX=lY=7, p_HJ=0.301335 T_HJ=0.520564 p_T2=0.075227  T_T2=1.437933
lX=lY=8, p_HJ=0.590236 T_HJ=-0.228152 p_T2=0.216341  T_T2=0.784610
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
5) y2flip - dust1flip

y2flip does not granger cause dust1flip
lX=lY=1, p_HJ=0.182851 T_HJ=0.904555 p_T2=0.213772  T_T2=0.793402
lX=lY=2, p_HJ=0.485984 T_HJ=0.035140 p_T2=0.585346  T_T2=-0.215588
lX=lY=3, p_HJ=0.390538 T_HJ=0.277918 p_T2=0.436842  T_T2=0.158981
lX=lY=4, p_HJ=0.334192 T_HJ=0.428366 p_T2=0.334492  T_T2=0.427542
lX=lY=5, p_HJ=0.305593 T_HJ=0.508381 p_T2=0.311795  T_T2=0.490769
lX=lY=6, p_HJ=0.188316 T_HJ=0.884119 p_T2=0.214985  T_T2=0.789244
lX=lY=7, p_HJ=0.210629 T_HJ=0.804239 p_T2=0.202580  T_T2=0.832440
lX=lY=8, p_HJ=0.082018 T_HJ=1.391627 p_T2=0.125157  T_T2=1.149585

dust1flip does not granger cause y2flip
lX=lY=1, p_HJ=0.306530 T_HJ=0.505711 p_T2=0.228285  T_T2=0.744506
lX=lY=2, p_HJ=0.522947 T_HJ=-0.057550 p_T2=0.373734  T_T2=0.321979
lX=lY=3, p_HJ=0.098899 T_HJ=1.287849 p_T2=0.072519  T_T2=1.457286
lX=lY=4, p_HJ=0.141181 T_HJ=1.075030 p_T2=0.106761  T_T2=1.243938
lX=lY=5, p_HJ=0.115012 T_HJ=1.200298 p_T2=0.093099  T_T2=1.321910
lX=lY=6, p_HJ=0.164102 T_HJ=0.977737 p_T2=0.178056  T_T2=0.922800
lX=lY=7, p_HJ=0.293855 T_HJ=0.542159 p_T2=0.251680  T_T2=0.669212
lX=lY=8, p_HJ=0.290083 T_HJ=0.553144 p_T2=0.203627  T_T2=0.828737

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
6) insol1flip - dust1flip

insol1flip does not granger cause dust1flip
lX=lY=1, p_HJ=0.025979 T_HJ=1.943487 p_T2=0.057317  T_T2=1.577706
lX=lY=2, p_HJ=0.416807 T_HJ=0.210069 p_T2=0.359670  T_T2=0.359342
lX=lY=3, p_HJ=0.436974 T_HJ=0.158645 p_T2=0.426191  T_T2=0.186081
lX=lY=4, p_HJ=0.302150 T_HJ=0.518226 p_T2=0.335987  T_T2=0.423440
lX=lY=5, p_HJ=0.123188 T_HJ=1.159197 p_T2=0.094309  T_T2=1.314679
lX=lY=6, p_HJ=0.210040 T_HJ=0.806282 p_T2=0.123414  T_T2=1.158091
lX=lY=7, p_HJ=0.283755 T_HJ=0.571721 p_T2=0.215830  T_T2=0.786354
lX=lY=8, p_HJ=0.182661 T_HJ=0.905272 p_T2=0.170719  T_T2=0.951326

dust1flip does not granger cause insol1flip
lX=lY=1, p_HJ=0.628398 T_HJ=-0.327613 p_T2=0.455377  T_T2=0.112088
lX=lY=2, p_HJ=0.317224 T_HJ=0.475475 p_T2=0.372524  T_T2=0.325177
lX=lY=3, p_HJ=0.042147 T_HJ=1.726300 p_T2=0.071640  T_T2=1.463683
lX=lY=4, p_HJ=0.130585 T_HJ=1.123631 p_T2=0.180980  T_T2=0.911635
lX=lY=5, p_HJ=0.261104 T_HJ=0.639947 p_T2=0.441354  T_T2=0.147538
lX=lY=6, p_HJ=0.519111 T_HJ=-0.047923 p_T2=0.619398  T_T2=-0.303899
lX=lY=7, p_HJ=0.374248 T_HJ=0.320624 p_T2=0.391722  T_T2=0.274833
lX=lY=8, p_HJ=0.409920 T_HJ=0.227751 p_T2=0.534808  T_T2=-0.087361


