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ACTEST: GAUSS module to Apply Asymmetric Causality Tests

Author

Listed:
  • Abdulnasser Hatemi-J

    (UAE University)

Programming Language

GAUSS

Abstract

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.

Suggested Citation

  • Abdulnasser Hatemi-J, 2011. "ACTEST: GAUSS module to Apply Asymmetric Causality Tests," Statistical Software Components G00014, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:g00014
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/a/actest.prg
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    Citations

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    Cited by:

    1. Al Shayeb, Abdulrahman & Hatemi-J , Abdulnasser, 2013. "An Empirical Investigation of the Potential Asymmetric Relationship between the Stock Market and the Exchange Rates in the UAE - Un esame empirico della potenziale relazione asimmetrica tra mercato az," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 66(4), pages 425-438.

    More about this item

    Keywords

    causality; asymmetry; GAUSS;
    All these keywords.

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