TDICPS: OCTAVE module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with Deterministic Trend Parts

Abdulnasser Hatemi-J and Alan Mustafa

Statistical Software Components from Boston College Department of Economics

Abstract: This module is developed using Octave which transforms an integrated variable into cumulative partial sums for positive and negative components. The underlying variable has both drift and trend. The transformed data can be used for implementing the asymmetric causality tests as developed by Hatemi-J (2012). It can also be used for estimating the asymmetric generalized impulse response functions and the asymmetric variance decompositions as introduced by Hatemi-J (2014). For technical description see the following articles. Hatemi-J A. (2012) Asymmetric causality tests with an application, Empirical Economics, vol. 43(1), 447-456. Hatemi-J, A. (2014) Asymmetric generalized impulse responses with an application in finance, Economic Modelling, vol. 36(C), 18-22. Hatemi-J, A. and El-Khatib Y. (2016) An extension of the asymmetric causality tests for dealing with deterministic trend components, Applied Economics, forthcoming.

Language: Octave
Requires: Octave
Keywords: causality; asymmetry (search for similar items in EconPapers)
Date: 2016-07-21
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Citations: View citations in EconPapers (4)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/t/TDICPS.m program code (text/plain)
http://fmwww.bc.edu/repec/bocode/u/US_As_SampleData.csv program code (text/plain)

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