ACTEST: GAUSS module to Apply Asymmetric Causality Tests
Abdulnasser Hatemi-J ()
Statistical Software Components from Boston College Department of Economics
This GAUSS module implements asymmetric causality tests developed by Hatemi-J (2012). This statistical software component determines the optimal lag order in the VAR model. It produces also correct critical values based on bootstrap simulations with leverage adjustments, which are robust to non-normality and ARCH effects. For technical details see Hatemi-J (2012) Asymmetric Causality Tests with an Application, Empirical Economics, forthcoming.
Keywords: causality; asymmetry (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:g00014
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