ACTEST: GAUSS module to Apply Asymmetric Causality Tests
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.
|Date of creation:||13 Dec 2011|
|Date of revision:|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
When requesting a correction, please mention this item's handle: RePEc:boc:bocode:g00014. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)
If references are entirely missing, you can add them using this form.