This program performs a bootstrap test for causality with endogenous lag order developed by Hacker and Hatemi-J (2010).
Reference: 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.
This program code is the copyright of the authors. Applications are allowed only if proper reference and acknowledgments are provided. For non-Commercial applications only.
No performance guarantee is made. Bug reports are welcome.
AhatTU=
1.160 1.678 -0.052 -0.655 -0.176
1.647 -0.137 1.305 0.184 -0.645
AhatTR=
-0.035 1.698 0.000 -0.689 0.000
1.647 -0.137 1.305 0.184 -0.645
AhatSR=
-0.035 1.698 0.000 -0.689 0.000
1.647 -0.137 1.305 0.184 -0.645
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Information criterion used; lags based on that =Hatemi-J Criterion (HJC) 2.000
Varorder chosen by information criterion (excluding augmentation lag(s)) is 2.000
additional lags=0.000
Wstat = 2.521
Wcriticalvals=
13.091
7.891
5.901