ContagT: GAUSS module to implement a pairwise bootstrap test for contagion

R Scott Hacker and Abdulnasser Hatemi-J

Statistical Software Components from Boston College Department of Economics

Abstract: This GAUSS module performs the Hatemi-J and Hacker (2005) pairwise bootstrap test for contagion during financial crisis and it also gives pairwise bootstrap estimators and the corresponding bootstrap P-values as suggested by the authors. For technical description see the published paper.

Language: GAUSS
Requires: GAUSS
Keywords: contagion; bootstrap (search for similar items in EconPapers)
Date: 2009-11-21
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Citations: View citations in EconPapers (7)

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http://fmwww.bc.edu/repec/bocode/c/ContagT.prg program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/ContagT.txt documentation (text/plain)

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