*! version 1.0.2 24may2026

Title

asycaus static -- Hatemi-J (2012) static asymmetric Granger-causality test with leverage bootstrap

Syntax

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

Description

asycaus static implements the static asymmetric causality test of
Hatemi-J (2012). The series are first decomposed into cumulative sums of
positive and negative shocks à la Granger and Yoon (2002), then
a VAR is fitted on each set of components with one additional unrestricted lag
for unit roots (Toda and Yamamoto 1995). A modified Wald statistic tests
the null that causvar does not Granger-cause depvar.

Critical values come from the leverage-adjusted bootstrap
(Hacker and Hatemi-J 2006, 2012), which is robust to non-normality and
ARCH effects. The default lag-selection criterion is the HJC
(Hatemi-J 2003), shown via Monte Carlo to recover the true VAR order under
unit roots and structural changes better than AIC or SBC.

Options

option

maxlag(#) maximum VAR lag (default 8)

ic(string) aic | aicc | sbc | hqc | hjc (default)

intorder(#) TY augmentation lags (default 1)

shock(string) pos | neg | both (default pos)

boot(#) bootstrap replications (default 1000)

seed(#) RNG seed (default 12345)

lnform take ln of inputs before decomposition

nograph suppress the graph

saving(name) save graph to name.gph

Examples

webuse lutkepohl2, clear

tsset qtr

asycaus static dln_inv dln_inc, maxlag(4) ic(hjc) boot(500) shock(both)

Stored results

Matrices

r(results) rows = chosen shocks, cols = (Wald, lag, dof, CV10, CV5, CV1)

Scalars

r(boot) r(maxlag) options used

Macros

r(test) r(depvar) r(cause) r(shock) r(ic) metadata

References

Hatemi-J, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43, 447–456.

Hacker, R. S., and Hatemi-J, A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions. Applied Economics, 38(13), 1489–1500.

Hatemi-J, A. (2003). A new method to choose optimal lag order in stable and unstable VAR models. Applied Economics Letters, 10(3), 135–137.

Author

Dr Merwan Roudane -- merwanroudane920@gmail.com

See asycaus for the package overview.