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HHcte: GAUSS module to Apply a Bootstrap Test for Causality with Endogenous Lag Order

Listed author(s):
  • Scott Hacker


    (Jonkoping University, Sweden)

  • Abdulnasser Hatemi-J


    (UAE University)

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.

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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number G00012.

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Programming language: GAUSS
Requires: GAUSS
Date of creation: 08 Jun 2010
Handle: RePEc:boc:bocode:g00012
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