HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments

R Scott Hacker and Abdulnasser Hatemi-J

Statistical Software Components from Boston College Department of Economics

Abstract: This GAUSS module implements a leveraged bootstrap test for causality developed by Hacker and Hatemi-J (Applied Economics, 2006). It performs wel when the data is not normally distributed and/or ARCH effects exist.

Language: GAUSS
Requires: GAUSS
Keywords: causality; bootstrap; leverage (search for similar items in EconPapers)
Date: 2009-10-18
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http://fmwww.bc.edu/repec/bocode/h/hhtest.prg program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hhtest.txt documentation (text/plain)

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