HHcte: GAUSS module to Apply a Bootstrap Test for Causality with Endogenous Lag Order
This GAUSS module implements a new bootstrap test for causality with endogenous lag length selection. The test is robust to time-varying volatility and it performs well when the variables in the VAR model are integrated. For technical description see Hacker and Hatemi-J (2010) A Bootstrap Test for Causality with Endogenous Lag Length Choice: Theory and Application in Finance, Working Paper Series in Economics and Institutions of Innovation 223, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies. The paper is available on line.
|Date of creation:||08 Jun 2010|
|Date of revision:|
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