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ASCOMP: GAUSS module to Transform Data into Cumulative Positive and Negative Components

Author

Listed:
  • Abdulnasser Hatemi-J

    (UAE University)

Programming Language

GAUSS

Abstract

This GAUSS module transforms data into cumulative positive and negative components. After producing these components for each variable, it is straight forward to estimate the asymmetric generalized impulses and variance decompositions introduced by Hatemi-J (2014) via a number of well-known econometric packages .These components can also be used to implement asymmetric causality tests developed by Hatemi-J (2012). For technical details see (1) Hatemi-J (2014) "Asymmetric generalized impulse responses with an application in finance, Economic Modelling, 36, 18-22." and (2) Hatemi-J (2012) Asymmetric Causality Tests with an Application, Empirical Economics, 43, 447-456.

Suggested Citation

  • Abdulnasser Hatemi-J, 2014. "ASCOMP: GAUSS module to Transform Data into Cumulative Positive and Negative Components," Statistical Software Components G00015, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:g00015
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    File URL: http://fmwww.bc.edu/repec/bocode/a/as-comp.prg
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    Cited by:

    1. Abdulnasser Hatemi-J, 2014. "On the interaction between government spending and economic performance in Sweden: an asymmetric approach," Applied Economics Letters, Taylor & Francis Journals, vol. 21(15), pages 1099-1103, October.
    2. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2015. "Modelling Asymmetry in Oil, Gold and Stock Markets by a Hidden Cointegration Technique. - Modelli di asimmetria nel mercato del petrolio, dell’oro e nei mercati azionari attraverso una tecnica di coin," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 68(2), pages 213-228.

    More about this item

    Keywords

    causality; asymmetry; GAUSS;
    All these keywords.

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