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

0	Negative.
1	Positive.

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

0	No log.
1	Log form.