ASCOMP: GAUSS module to Transform Data into Cumulative Positive and Negative Components

Abdulnasser Hatemi-J

Statistical Software Components from Boston College Department of Economics

Abstract: This GAUSS module transforms data into cumulative positive and negative components. After producing these components for each variable, it is straight forward to estimate the asymmetric generalized impulses and variance decompositions introduced by Hatemi-J (2014) via a number of well-known econometric packages .These components can also be used to implement asymmetric causality tests developed by Hatemi-J (2012). For technical details see (1) Hatemi-J (2014) "Asymmetric generalized impulse responses with an application in finance, Economic Modelling, 36, 18-22." and (2) Hatemi-J (2012) Asymmetric Causality Tests with an Application, Empirical Economics, 43, 447-456.

Language: GAUSS
Requires: GAUSS
Keywords: causality; asymmetry (search for similar items in EconPapers)
Date: 2014-01-23
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Citations: View citations in EconPapers (2)

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