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ASYCAUS: Stata module to provide Asymmetric Granger-Causality Suite

Author

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  • Merwan Roudane

Programming Language

Abstract

asycaus implements the full battery of asymmetric Granger causality tests for time series. Each subcommand decomposes the two series into cumulative positive and cumulative negative shocks following Granger and Yoon (2002), then conducts the relevant inference within an augmented VAR (Toda and Yamamoto 1995). The package is bivariate by design (testing whether causvar causes depvar) and follows Hatemi-J's program — the inference is exact when combined with the leverage bootstrap (Hacker and Hatemi-J, 2006, 2012). The default lag-selection criterion is the Hatemi-J information criterion (HJC; Hatemi-J 2003), with AIC, AICC, SBC and HQC also available via ic(). For each subcommand a professional table is printed and a publication-quality graph is produced (suppress with nograph).

Suggested Citation

  • Merwan Roudane, 2026. "ASYCAUS: Stata module to provide Asymmetric Granger-Causality Suite," Statistical Software Components S459727, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459727
    Note: This module should be installed from within Stata by typing "ssc install asycaus". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/a/asycaus.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/a/asycaus.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/a/asycaus_all.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/a/asycaus_dynamic.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/a/asycaus_efficient.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/a/asycaus_fourier.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/a/asycaus_spectral.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/a/asycaus_engine.mata
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_asycaus_check_tsset.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_asycaus_iccode.ado
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