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Hatemi-J Asymmetric Causality

The Hatemi-J asymmetric causality test, introduced by Abdulnasser Hatemi-J in 2012, extends the Granger causality framework to allow causal relationships between the positive and negative components of integrated time series to differ. By decomposing each series into cumulative positive and negative partial sums and embedding the Toda-Yamamoto approach within a VAR, the test enables researchers to distinguish whether positive shocks, negative shocks, or both drive causation between economic variables.

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Hatemi-J Asymmetric Causality Test

Taxonomický záznam metódy · hypothesis-test / econometrics

Hatemi-J, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447–456. · DOI 10.1007/s00181-011-0484-x

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Used in the same domainGranger Causalitymachine-suggested · Relational suggestion, not evidence.Same method familyHatemi-J Cointegration Testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketToda-Yamamoto Causalitymachine-suggested · Relational suggestion, not evidence.