/*
?*?This?program?calculates?p-values?for?the?Hiemstra-Jones?statistic
?*?as?well?as?for?the?Diks-Panchenko?statistic.?For?details?see?the?
?*?README?file?and?our?paper:
?*
?*?Diks?C.?and?Panchenko?V.?（2006）
?*?A?new?statistic?and?practical?guidelines?for?nonparametric?Granger?causality
?*?testing?Journal?of?Economic?Dynamics?and?Control?30?（9-10）?1647-1669
?*
?*?Cees?Diks?--?June?2008
?*/

#include?
#include?
#include?

#define?max（ab）	a>b?a:b

#define?EPS?????????????1.5

int?Ndat=15000;
int?Mmax=8;?????/*?maximum?emb.?dim.?*/
int?n?K;
double?T2QQad**AC[4]*h*ohm*cov;
double?p_HJ?p_T2?p_HJad?HJ_TVAL?T2_TVAL;

/*?determine?the?log?of?ratios?of?correlation?integrals?*/

void?redun（double?*x?double?*y?int?N?int?m?int?mmax?double?epsilon）
{

??int?i?j?s;
??int?IYij?IXYij?IYZij?IXYZij;
??double?disx?disy?disz?*Cy?*Cxy?*Cyz?*Cxyz?tCy=0?tCxy=0?tCyz=0?tCxyz=0;

??Cy?=?（double?*）?malloc（N*sizeof（double））;
??Cxy?=?（double?*）?malloc（N*sizeof（double））;
??Cyz?=?（double?*）?malloc（N*sizeof（double））;
??Cxyz?=?（double?*）?malloc（N*sizeof（double））;
??
??for?（i=0;i!=N;i++）
????h[i]?=?Cy[i]?=?Cxy[i]?=?Cyz[i]?=?Cxyz[i]?=?0.0;
??
??T2=Q=0.0;

??n?=?N?-?mmax;
??
??for?（i=mmax;i!=N;i++）
??{

????Cy[i]=Cxy[i]=Cyz[i]=Cxyz[i]=0.0;

????for?（j=mmax;j!=N;j++）
????if?（j!=i）
????{
	????
??????disx?=?disy?=?0.0;
??????for?（s=1;s!=m+1;s++）
????????disx?=?max（fabs（x[i-s]-x[j-s]）disx）;
??????
??????for?（s=1;s!=mmax+1;s++）
????????disy?=?max（fabs（y[i-s]-y[j-s]）disy）;

??????if?（disy?<=?epsilon）
??????{
	Cy[i]++;
????????A[3][i]++;

????????if?（disx?<=?epsilon）
????????{
??????????Cxy[i]++;
??????????A[1][i]++;
????????}

????????disz?=?max（fabs（y[i]-y[j]）disy）;

????????if?（disz?<=?epsilon）
????????{
??????????Cyz[i]++;
??????????A[2][i]++;
??????????if?（disx?<=?epsilon）
??????????{
????????????Cxyz[i]++;
????????????A[0][i]++;
??????????}
????????}
??????}???/*?end?condition?|Yi?-?Yj|?????}???/*?end?loop?over?j?*/


????Cy[i]?/=?（double）（n）;
????Cxy[i]?/=?（double）（n）;
????Cyz[i]?/=?（double）（n）;
????Cxyz[i]?/=?（double）（n）;

????h[i]?+=?2.0*（Cxyz[i]*Cy[i]?-?Cxy[i]*Cyz[i]）/6.0;

????for?（j=mmax;j!=N;j++）
????if?（j!=i）
????{
	????
??????IYij?=?IXYij?=?IYZij?=?IXYZij?=?0;
??????
??????disx?=?disy?=?0.0;

??????for?（s=1;s!=m+1;s++）
????????disx?=?max（fabs（x[i-s]-x[j-s]）disx）;
?????
??????for?（s=1;s!=mmax+1;s++）
????????disy?=?max（fabs（y[i-s]-y[j-s]）disy）;

??????if?（disy?<=?epsilon）
??????{
????????IYij=1;
????????if?（disx?<=?epsilon）
????????{
	??IXYij?=?1;
????????}

????????disz?=?max（fabs（y[i]-y[j]）disy）;

????????if?（disz?<=?epsilon）
????????{
	??IYZij?=?1;	
????????if?（disx?<=?epsilon）
????????????IXYZij?=?1;
????????}
??????}???/*?end?condition?|Yi?-?Yj|?
??????h[j]?+=?2.0*（Cy[i]*IXYZij?-?Cyz[i]*IXYij）/（double）（6*n）;
??????h[j]?+=?2.0*（Cxyz[i]*IYij?-?Cxy[i]*IYZij）/（double）（6*n）;
???????
????}???/*?end?second?loop?over?j?*/

????tCy+=n*Cy[i];?tCxy+=n*Cxy[i]?tCyz+=n*Cyz[i]?tCxyz+=n*Cx

?屬性????????????大小?????日期????時間???名稱
-----------?---------??----------?-----??----
?????目錄???????????0??2008-06-04?11:51??hjt2\
?????文件????????1804??2008-06-04?11:50??hjt2\README
?????目錄???????????0??2008-07-28?14:22??hjt2\c-code\
?????文件??????????57??2008-06-04?11:51??hjt2\c-code\Makefile
?????文件???????10862??2008-06-04?11:51??hjt2\c-code\hjt2_tval.c
?????目錄???????????0??2008-06-04?11:50??hjt2\matlab\
?????文件??????175202??2008-06-04?11:51??hjt2\matlab\spx_rp.dat
?????文件??????174522??2008-06-04?11:51??hjt2\matlab\spx_ur.dat
?????文件??????174522??2008-06-04?11:51??hjt2\matlab\spx_uv.dat
?????文件??????175202??2008-06-04?11:51??hjt2\matlab\spx_vp.dat
?????文件??????498579??2008-06-04?11:51??hjt2\matlab\spx.csv
?????文件????????2613??2008-06-04?11:51??hjt2\matlab\var_resid.m
?????文件?????????226??2008-06-04?11:51??hjt2\matlab\delayvectors.m
?????文件????????1649??2008-06-04?11:51??hjt2\matlab\deseason.m
?????文件??????174522??2008-06-04?11:51??hjt2\matlab\spx_uer.dat
?????文件??????174522??2008-06-04?11:51??hjt2\matlab\spx_uev.dat
?????文件???????23775??2008-06-04?11:51??hjt2\c-code\hjt2_tval
?????文件???????31362??2008-10-12?16:36??hjt2\c-code\hjt2_tval.exe
?????文件????????3803??2008-09-25?14:35??hjt2\c-code\x.dat
?????文件????????3806??2008-09-25?14:35??hjt2\c-code\y.dat
?????文件????????2333??2008-09-25?14:35??hjt2\c-code\x_y.sample.out