HHcte: GAUSS module to Apply a Bootstrap Test for Causality with Endogenous Lag Order

R Scott Hacker and Abdulnasser Hatemi-J

Statistical Software Components from Boston College Department of Economics

Abstract: This GAUSS module implements a new bootstrap test for causality with endogenous lag length selection. The test is robust to time-varying volatility and it performs well when the variables in the VAR model are integrated. For technical description see Hacker and Hatemi-J (2010) A Bootstrap Test for Causality with Endogenous Lag Length Choice: Theory and Application in Finance, Working Paper Series in Economics and Institutions of Innovation 223, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies. The paper is available on line.

Language: GAUSS
Requires: GAUSS
Keywords: bootstrap; endogeneity; volatility; causality (search for similar items in EconPapers)
Date: 2010-06-08
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Citations: View citations in EconPapers (2)

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