A MS-Excel Module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with and without Deterministic Trend Parts.

Hatemi-J, Abdulnasser and Mustafa, Alan (2016): A MS-Excel Module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with and without Deterministic Trend Parts.

Abstract

Our aim is to describe how a software component called TDICPS can be used. TDICPS is a MS-Excel module developed in VBA (visual basics for applications) by the authors that transforms an integrated variable into cumulative partial sums for positive and negative components along with graphs for a potential sample size of more than one million observations. Several options are available. The variable might have both drift and trend, only drift or no deterministic trend parts. We demonstrate step by step how the stock price index of the US market can be transformed into partial components for positive and negative changes. Any other variable can also be transformed in a similar way. The transformed data can be used for implementing the asymmetric causality tests as developed by Hatemi-J (2012). It can also be used for estimating the asymmetric generalized impulse response functions and the asymmetric variance decompositions as introduced by Hatemi-J (2014). Other options are also possible. The MS-Excel code is available by e-mail from the authors.

• Item Type: MPRA Paper
• Language: English
• Keywords: VBA; Software Component; Asymmetry; Causality; Impulses; The US.
• Subjects: C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C60 - General; G - Financial Economics > G0 - General; G - Financial Economics > G0 - General > G00 - General

References

Akerlof G., (1970) The market for lemons: Quality uncertainty and the market mechanism, Quarterly Journal of Economics, 84, 485-500.

Granger, C.W., Yoon, G. (2002) Hidden Cointegration. Department of Economics Working Paper. University of California. San Diego.

Hatemi-J A (2011a) Hidden panel cointegration, MPRA Paper 31604, University Library of Munich, Germany.

Hatemi-J A (2011b) Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia, MPRA Paper 55527, University Library of Munich, Germany.

Hatemi-J A (2012) Asymmetric Causality Tests with an Application, Empirical Economics, 43(1), 447-456.

Hatemi-J A (2013) A New Asymmetric GARCH Model: Testing, Estimation and Application, MPRA Paper 45170, University Library of Munich, Germany.

Hatemi-J A (2014) Asymmetric generalized impulse responses with an application in finance, Economic Modelling, 36, 18-22.

Hatemi-J A. and El-Khatib Y. (2016) An extension of the asymmetric causality tests for dealing with deterministic trend components, Applied Economics, 48, 4033-4041.

Hatemi-J A. and Mustafa A. (2016) TDICPS: OCTAVE Module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with Deterministic Trend Parts, Statistical Software Components, Nr. OCT001, Boston College Department of Economics. Available on line. (https://ideas.repec.org/c/boc/bocode/oct001.html).

Spence M. (1973) Job market signalling, Quarterly Journal of Economics, 87, 355-374.

Stiglitz J. (1974) Incentives and Risk Sharing in Sharecropping, Review of Economic Studies, 41, 219-255.