HHcte: GAUSS module to Apply a Bootstrap Test for Causality with Endogenous Lag Order

R. Scott Hacker · Abdulnasser Hatemi‐J

23 citations0/0 files storedRePEc: Research Papers in Economics

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

Abstract

This GAUSS module implements a new bootstrap test for causality with endogenous lag length selection. The test is robust to time-varying volatility and it performs well when the variables in the VAR model are integrated. For technical description see Hacker and Hatemi-J (2010) A Bootstrap Test for Causality with Endogenous Lag Length Choice: Theory and Application in Finance, Working Paper Series in Economics and Institutions of Innovation 223, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies. The paper is available on line.

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