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

Author

Listed:
  • Abdulnasser Hatemi-J

    (UAE University)

  • Alan Mustafa

    (American University of Kurdistan)

Programming Language

Octave

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.

Suggested Citation

  • Abdulnasser Hatemi-J & Alan Mustafa, 2016. "TDICPS: OCTAVE module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with Deterministic Trend Parts," Statistical Software Components OCT001, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:oct001
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/t/TDICPS.m
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/u/US_As_SampleData.csv
    File Function: program code
    Download Restriction: no
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    Citations

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    Cited by:

    1. Hatemi-J, Abdulnasser & Mustafa, Alan, 2016. "A MS-Excel Module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with and without Deterministic Trend Parts," MPRA Paper 73813, University Library of Munich, Germany.
    2. Hatemi-J, Abdulnasser, 2020. "Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 73(3), pages 389-404.
    3. Hatemi-J, Abdulnasser & Mustafa, Alan, 2016. "Testing for Financial Market Integration of the Chinese Market with the US Market," MPRA Paper 72733, University Library of Munich, Germany.
    4. Abdulnasser Hatemi-J, 2021. "Dynamic Asymmetric Causality Tests with an Application," Papers 2106.07612, arXiv.org, revised Jun 2021.

    More about this item

    Keywords

    causality; asymmetry; Octave;
    All these keywords.

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