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ACTEST: GAUSS module to Apply Asymmetric Causality Tests


  • Abdulnasser Hatemi-J

    () (UAE University)


This GAUSS module implements asymmetric causality tests developed by Hatemi-J (2012). This statistical software component determines the optimal lag order in the VAR model. It produces also correct critical values based on bootstrap simulations with leverage adjustments, which are robust to non-normality and ARCH effects. For technical details see Hatemi-J (2012) Asymmetric Causality Tests with an Application, Empirical Economics, forthcoming.

Suggested Citation

  • Abdulnasser Hatemi-J, 2011. "ACTEST: GAUSS module to Apply Asymmetric Causality Tests," Statistical Software Components G00014, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:g00014

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    causality; asymmetry;


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