asymcause

Purpose

Performs the asymmetric causality tests of the hypothesis that z does not cause y. Based on original code provided by Abdulnasser Hatemi-J.

Format

{ Wstat, Wcv, ICOrder, Azdsys } = asymCause(y, z[, pos, infocrit, intorder, ln_form, maxlags, bootmaxiter, fullprint])

Parameters:

• y (TNx1 matrix) – Panel data variable of interest to be tested.
• z (TNx1 matrix) – Panel data to be tested for causation.
• pos (Scalar) –

  Optional, specifies whether to use positive or negative component. Default = 1.

  0	Negative.
  1	Positive.

• ic (Scalar) –

  Optional, the information criterion used for choosing lags. Default = 3.

  1	AIC.
  2	AICC.
  3	SBC.
  4	HQC.
  5	HJC.
  6	Use max lags.

• intorder – Optional, order of integration to adjust for unit roots. Default = 0.
• ln_form (Scalar) –

  Optional, specifies whether to use data in log form. Default = 0.

  0	No log.
  1	Log form.

• maxlags (Scalar) – Optional, the maximum number of lags for \(\Delta y\). Default = 8.
• bootmaxiter (Scalar) – Optional, number of bootstrap iterations. Default = 1000.
• fullprint (Scalar) – print full output including the Ahat predications and negative/positive components. Default = 0;

Returns:

• Wstat (Scalar) – Wald statistic.
• Wcv (Vector) – Bootstrap 1%, 5%, and 10% critical values for the Wald statistic.
• ICOrder (Scalar) – Number of lags selected by chosen information criterion.
• Azdsys (Scalar) – Number of lags after the added lags for integration.

Examples

library tspdlib;

// Load date file
YZlevel = packr(loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/nelsonplosser.dta", "m + bnd"));

// Run test
{ Wstat, Wcv, ICOrder, Azdsys } = asymCause(YZlevel[., "m"], YZlevel[., "bnd"]);

Source

actest.src