ACTEST: GAUSS module to Apply Asymmetric Causality Tests
AbstractThis GAUSS module implements asymmetric causality tests developed by Hatemi-J (2012). This statistical software component determines the optimal lag order in the VAR model. It produces also correct critical values based on bootstrap simulations with leverage adjustments, which are robust to non-normality and ARCH effects. For technical details see Hatemi-J (2012) Asymmetric Causality Tests with an Application, Empirical Economics, forthcoming.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number G00012.
Programming language: GAUSS
Date of creation: 13 Dec 2011
Date of revision:
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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