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ACTEST: GAUSS module to Apply Asymmetric Causality Tests

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Author Info

  • Abdulnasser Hatemi-J

    ()
    (UAE University)

Abstract

This 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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File URL: http://fmwww.bc.edu/repec/bocode/a/actest.prg
File Function: program code
Download Restriction: no

Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number G00014.

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Programming language: GAUSS
Requires: GAUSS
Date of creation: 13 Dec 2011
Date of revision:
Handle: RePEc:boc:bocode:g00014

Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: causality; asymmetry;

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