HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments
This GAUSS module implements a leveraged bootstrap test for causality developed by Hacker and Hatemi-J (Applied Economics, 2006). It performs wel when the data is not normally distributed and/or ARCH effects exist.
|Date of creation:||18 Oct 2009|
|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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