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HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments


  • Scott Hacker

    () (Jonkoping University, Sweden)

  • Abdulnasser Hatemi-J

    () (UAE University)


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.

Suggested Citation

  • Scott Hacker & Abdulnasser Hatemi-J, 2009. "HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments," Statistical Software Components G00005, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:g00005

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    causality; bootstrap; leverage;


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