 A MS-Excel Module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with and without Deterministic Trend PartsAbdulnasser Hatemi-J and Alan Mustafa MPRA Paper from University Library of Munich, Germany Abstract: Our aim is to describe how a software component called TDICPS can be used. TDICPS is a MS-Excel module developed in VBA (visual basics for applications) by the authors that transforms an integrated variable into cumulative partial sums for positive and negative components along with graphs for a potential sample size of more than one million observations. Several options are available. The variable might have both drift and trend, only drift or no deterministic trend parts. We demonstrate step by step how the stock price index of the US market can be transformed into partial components for positive and negative changes. Any other variable can also be transformed in a similar way. The transformed data can be used for implementing the asymmetric causality tests as developed by Hatemi-J (2012). It can also be used for estimating the asymmetric generalized impulse response functions and the asymmetric variance decompositions as introduced by Hatemi-J (2014). Other options are also possible. The MS-Excel code is available by e-mail from the authors. Keywords: VBA; Software Component; Asymmetry; Causality; Impulses; The US. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:73813 Access Statistics for this paper More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC. |
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