DASCT01: Gauss Module for estimating Dynamic Asymmetric and Symmetric Causality Tests

Abdulnasser Hatemi-J and Alan Mustafa

Statistical Software Components from Boston College Department of Economics

Abstract: This Gauss module estimates the dynamic asymmetric causality tests developed by Hatemi-J (2012, 2021). The subsamples can be determined by (a) fixed rolling window or (b) by recursive rolling window anchored to the start. The dynamic tests are estimated along with the bootstrap critical values with leverage adjustments for both 5% and 10% significance levels. It also estimates the dynamic symmetric causality tests developed by Hacker and Hatemi-J (2006, 2012). For technical details see (1) Hatemi-J A. (2021) Dynamic Asymmetric Causality Tests with an Application, Papers 2106.07612, arXiv.org. (2) Hatemi-J A. (2012) Asymmetric Causality Tests with an Application, Empirical Economics, 43, 447-456. (3) Hacker S. and Hatemi-J A. (2006) Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application, Applied Economics, 38(13), 1489-1500. (4) Hacker S. and Hatemi-J A. (2012) A bootstrap test for causality with endogenous lag length choice: theory and application in finance, Journal of Economic Studies, 39(2), 144-160.

Language: Gauss
Requires: Gauss
Keywords: causality tests; asymmetry; dynamics (search for similar items in EconPapers)
Date: 2021-07-11
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