Stock prices, exchange rates and portfolio equity flows: A Toda-Yamamoto Panel Causality Test

By Andriansyah Andriansyah
Journal of Economic Studies (2019)

  • Andriansyah Andriansyah

  • Andriansyah Andriansyah

    Ministry of Finance



December 18, 2019

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December 18, 2019










Computation of Wbar and Zbar test statistics of the HNC hypothesis X1 causes Y while controlling X2; K is the number of lags, m is the additional lags, and r is the number of repetition for bootsrapping Extention of "Testing Granger Causality in Heterogeneous Panel Data Models" C. Hurlin, October 2008. - For trivariate setting - For Yoda & Yamamoto procedure The main sources in writing this code: - Causality_Hurlim.m by C. Hurlin, October 2012 available at - fe_nk_causality.m by Furkan Emirmahmutoglu, March 2013 available at

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