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An extension of the asymmetric causality tests for dealing with deterministic trend components
15 references·0 citing·43 second hop
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods23,139 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,202 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 1982Measurement of Linear Dependence and Feedback Between Multiple Time Series2,070 cited
  • 2011Asymmetric causality tests with an application880 cited
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  • 2003A new method to choose optimal lag order in stable and unstable VAR models247 cited
  • 2015Nonlinear ARDL approach, asymmetric effects and the J-curve202 cited
  • 2012A bootstrap test for causality with endogenous lag length choice: theory and application in finance182 cited
  • 2015On the relation between stock prices and exchange rates: a review article131 cited
  • 2008Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models101 cited
  • 2005A test for multivariate ARCH effects99 cited
  • 2013Asymmetric generalized impulse responses with an application in finance83 cited
  • 2010

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