GMDLBCT: GAUSS module for Implementing Dynamic Leverage Bootstrap Contagion Tests

Alan Mustafa and Abdulnasser Hatemi-J

Statistical Software Components from Boston College Department of Economics

Abstract: This module is created in Gauss for implementing dynamic tests for contagion. Pairwise leverage bootstrap simulations are utilized for estimating and conducting tests of significance of the underlying parameters with potential shifts across time. For technical details see Hatemi-J and Hacker (2005) and Hatemi-J (2025).

Language: GAUSS
Requires: GAUSS
Keywords: dynamic tests; contagion (search for similar items in EconPapers)
Date: 2025-05-19
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http://fmwww.bc.edu/repec/bocode/g/GMDLBCT.txt program code (text/plain)
http://fmwww.bc.edu/repec/bocode/d/DA40.txt sample data (text/plain)

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