*! version 1.0.2 24may2026

Title

asycaus dynamic -- Hatemi-J (2021) dynamic asymmetric causality (rolling / recursive subsamples)

Syntax

asycaus dynamic depvar causvar [if] [in] [, options]

Description

Extends the static asymmetric test (Hatemi-J 2012) to a time-varying setting
by re-estimating the causal relationship over overlapping subsamples. Two
subsampling schemes are provided:

rolling — fixed-length window of size S moved one observation at a time.

recursive — anchored at the first observation, expanding by one each step.

The minimum window S defaults to the Phillips, Shi & Yu (2015) lower bound:

S = ceil[T(0.01 + 1.8/sqrt(T))]

For each window the leverage-adjusted bootstrap is run; 1%, 5%, 10% critical
values and the ratio Wald / CV5 are reported. A time-varying-causality
graph is produced unless nograph is set.

Options

maxlag(#) max VAR lag (default 4)

ic(string) IC (default hjc)

intorder(#) TY augmentation lags (default 1)

shock(string) pos | neg (default pos)

window(#) rolling/recursive window length (default = PSY min)

rolling rolling window (default)

recursive recursive (anchored) window

boot(#) bootstrap reps per window (default 200)

seed(#) seed (default 12345)

lnform use ln of inputs first

nograph suppress graph

saving(name) save graph

Examples

webuse lutkepohl2, clear

tsset qtr

asycaus dynamic dln_inv dln_inc, rolling window(40) boot(200) shock(pos)

asycaus dynamic dln_inv dln_inc, recursive boot(200) shock(neg)

Stored results

r(results) matrix: sub_start sub_end lag Wald cv10 cv5 cv1 W/cv5

r(nsub) number of subsamples

r(window) window length used

r(Smin) PSY minimum window

r(mode) r(shock) options used

References

Hatemi-J, A. (2021). Dynamic Asymmetric Causality Tests with an Application. arXiv 2106.07612.

Phillips, P. C. B., Shi, S., and Yu, J. (2015). Testing for multiple bubbles. International Economic Review, 56(4), 1043–1078.

Author

Dr Merwan Roudane -- merwanroudane920@gmail.com

See asycaus for the package overview.