In this video tutorial, we present a simple tutorial on how to run Asymmetric Causality using Gauss. The Asymmetric Causality Gauss Video has not been recorded so far anywhere so we thank to Scott Hacker and Abdulnasser Hatemi who has published their code on Ideas platform here: https://ideas.repec.org/c/boc/bocode/g00012.html and fmwww.bc.edu here: fmwww.bc.edu/repec/bocode/h/HHcte.prg. The program performs a bootstrap test for causality with endogenous lag order developed by Hacker and Hatemi-J (2010).
Please cite the Asymetric Causality and Bootstrap Procedure as:
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.
In this video tutorial on Asymmetric Causality Gauss Video, please following along these steps to complete testing asymmetric causality between two series (positive - positive or positive-negative cummulative sum of squares) that we can create using Eviews before running GAUSS.
genr dlntrade = lntrade-lntrade(-1)
genr pos = dlntrade >=0
genr dlntrade_p = pos*dlntrade
genr dlntrade_n = (1-pos)*dlntrade
genr lntrade_p = @cumsum(dlntrade_p)
genr lntrade_n = @cumsum(dlntrade_n)
The above code should be run line by line in Eviews to create cusum for the given series. To create the cusum for lngdp, just replace the lntrade with lngdp using any text editor, we used notepad here.
Then open the cusum of all series in Eviews spread sheet, copy it to Excel and copy the pair of positive-positive or positive-negative cusum and paste into the GAUSS new file. Save it to the directory you are working in as a txt file. We named that as data.txt.
Then open the HHcte.prg download from above links in GAUSS and change the file name, initial arguments for bootstrapping the computed statistic.
Asymmetric Causality Gauss Video is the first on internet to help the public to apply Asymmetric Causality using Gauss developed by Hatemi (2012) and subsequently very popular among macroeconomic and financial researchers. The Asymmetric Causality Gauss Video is a gift to the academic community from AnEconomist.com and all our admiration is to Hatemi and his co-authors.
Other interesting work of Hatemi and his co-authors can be read from: https://ideas.repec.org/e/pha24.html