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

Author

Listed:
  • Scott Hacker

    () (Jonkoping University, Sweden)

  • Abdulnasser Hatemi-J

    () (UAE University)

Abstract

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.

Suggested Citation

  • Scott Hacker & Abdulnasser Hatemi-J, 2010. "HHcte: GAUSS module to Apply a Bootstrap Test for Causality with Endogenous Lag Order," Statistical Software Components G00012, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:g00012
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    File URL: http://fmwww.bc.edu/repec/bocode/h/HHcte.prg
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    Keywords

    bootstrap; endogeneity; volatility; causality;

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