dasycaus 1.0.1

Dynamic Asymmetric Causality Tests for Time Series Analysis

DASYCAUS: Dynamic Asymmetric Causality Tests

A Python library for Dynamic Asymmetric and Symmetric Causality Tests in time series analysis, based on the methodology developed by Hatemi-J (2012, 2021).

📚 Overview

DASYCAUS provides a comprehensive implementation of:

• Static Symmetric Causality Tests (Granger causality with bootstrap)
• Static Asymmetric Causality Tests (testing positive and negative components separately)
• Dynamic Symmetric Causality Tests (time-varying causality using subsamples)
• Dynamic Asymmetric Causality Tests (time-varying asymmetric causality)

The library implements leverage-adjusted bootstrap procedures for accurate critical value computation and supports various information criteria for optimal lag selection.

🔬 Theoretical Background

This library is based on the following key papers:

1. Hatemi-J, A. (2021). "Dynamic Asymmetric Causality Tests with an Application." arXiv:2106.07612.

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

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

4. Hacker, S. and Hatemi-J, A. (2012). "A bootstrap test for causality with endogenous lag length choice: theory and application in finance." Journal of Economic Studies, 39(2), 144-160.

🚀 Installation

From PyPI (when published)

pip install dasycaus

From Source

git clone https://github.com/merwanroudane/dasycaus.git
cd dasycaus
pip install -e .

With Optional Dependencies

# For plotting capabilities
pip install dasycaus[plotting]

# For data export features
pip install dasycaus[export]

# For all features
pip install dasycaus[full]

📋 Requirements

Core Dependencies:

• Python >= 3.8
• NumPy >= 1.20.0
• SciPy >= 1.7.0

Optional Dependencies:

• matplotlib >= 3.5.0 (for plotting)
• pandas >= 1.3.0 (for data export)

🔧 Quick Start

Example 1: Static Symmetric Causality Test

import numpy as np
from dasycaus import symmetric_causality_test

# Load your data (T x n matrix)
data = np.loadtxt('your_data.txt')

# Conduct symmetric causality test
results = symmetric_causality_test(
    data=data,
    maxlags=8,
    integration_order=1,
    info_criterion='hjc',
    bootstrap_sims=1000,
    significance_levels=[0.05, 0.10]
)

print(f"Test Statistic: {results['test_statistic']:.4f}")
print(f"Optimal Lag: {results['optimal_lag']}")
print(f"Reject H0 at 5%: {results['reject_null'][0.05]}")

Example 2: Static Asymmetric Causality Test

from dasycaus import asymmetric_causality_test

# Test positive components
results_positive = asymmetric_causality_test(
    data=data,
    maxlags=8,
    component='positive',  # or 'negative'
    integration_order=1,
    info_criterion='hjc',
    bootstrap_sims=1000
)

print(f"Positive Component Test Statistic: {results_positive['test_statistic']:.4f}")

Example 3: Dynamic Symmetric Causality Test

from dasycaus import dynamic_symmetric_causality_test
from dasycaus.utils import plot_dynamic_causality, create_summary_table

# Conduct dynamic test
results = dynamic_symmetric_causality_test(
    data=data,
    maxlags=8,
    integration_order=1,
    info_criterion='hjc',
    bootstrap_sims=1000,
    subsample_method='recursive'  # or 'rolling'
)

# Print summary
print(create_summary_table(results))

# Plot results
plot_dynamic_causality(
    results,
    significance_level=0.05,
    title="Dynamic Causality Test Results",
    save_path="dynamic_test.png"
)

Example 4: Dynamic Asymmetric Causality Test

from dasycaus import dynamic_asymmetric_causality_test

# Test dynamic asymmetric causality for positive components
results = dynamic_asymmetric_causality_test(
    data=data,
    maxlags=8,
    component='positive',
    integration_order=1,
    info_criterion='hjc',
    bootstrap_sims=1000,
    subsample_method='recursive'
)

# Visualize
plot_dynamic_causality(results, significance_level=0.10)

📊 Key Features

1. Data Transformation

Transform integrated variables into cumulative positive and negative components:

from dasycaus import transform_to_cumulative_components

positive_components = transform_to_cumulative_components(
    data, 
    component='positive',
    include_trend=True
)

negative_components = transform_to_cumulative_components(
    data,
    component='negative',
    include_trend=True
)

2. Lag Selection

Multiple information criteria supported:

from dasycaus import select_optimal_lag, compare_criteria

# Single criterion
lag_info = select_optimal_lag(
    data,
    maxlags=12,
    info_criterion='hjc'  # 'aic', 'aicc', 'sbc', 'hqc', 'hjc'
)

# Compare all criteria
comparison = compare_criteria(data, maxlags=12)
print(comparison['optimal_lags'])

3. Bootstrap Critical Values

Leverage-adjusted bootstrap for accurate inference:

from dasycaus import bootstrap_critical_values

cv = bootstrap_critical_values(
    data,
    lag_order=4,
    integration_order=1,
    num_simulations=1000,
    significance_level=0.05,
    leverage_adjustment=True
)

4. Subsample Methods

Recursive Method: Starts with minimum size, adds one observation each iteration

subsample_method='recursive'

Rolling Window Method: Fixed window size, rolls forward

subsample_method='rolling'

📈 Application Example: Oil Prices and Stock Market

Replicating the analysis from Hatemi-J (2021):

import numpy as np
from dasycaus import dynamic_asymmetric_causality_test
from dasycaus.utils import plot_dynamic_causality

# Load data (log of oil prices and stock prices)
data = np.loadtxt('oil_stock_data.txt')  # 1990-2020

# Test if oil price increases cause stock market increases
results_positive = dynamic_asymmetric_causality_test(
    data=data,
    maxlags=4,
    component='positive',
    integration_order=1,
    info_criterion='hjc',
    bootstrap_sims=1000,
    subsample_method='recursive'
)

# Test if oil price decreases cause stock market decreases
results_negative = dynamic_asymmetric_causality_test(
    data=data,
    maxlags=4,
    component='negative',
    integration_order=1,
    info_criterion='hjc',
    bootstrap_sims=1000,
    subsample_method='recursive'
)

# Visualize results
plot_dynamic_causality(
    results_positive,
    significance_level=0.10,
    title="H0: Oil Price Increase Does Not Cause Stock Market Increase"
)

📖 Documentation

Main Functions

symmetric_causality_test

Conducts static Granger causality test with bootstrap critical values.

Parameters:

• data: (T, n) array of time series data
• maxlags: Maximum lag order to consider
• integration_order: Integration order (0, 1, or 2)
• info_criterion: 'aic', 'aicc', 'sbc', 'hqc', or 'hjc'
• bootstrap_sims: Number of bootstrap simulations
• significance_levels: List of significance levels
• random_seed: Seed for reproducibility

Returns: Dictionary with test statistic, optimal lag, critical values, and rejection decisions.

asymmetric_causality_test

Tests causality in positive or negative components separately.

Additional Parameters:

• component: 'positive' or 'negative'
• include_trend: Whether to include deterministic trend

dynamic_symmetric_causality_test

Time-varying causality test using subsamples.

Additional Parameters:

• subsample_method: 'recursive' or 'rolling'

Returns: Dictionary with subsample results, test ratios, and rejection patterns.

dynamic_asymmetric_causality_test

Time-varying asymmetric causality test.

Combines data transformation with dynamic testing.

🧪 Testing

Run the test suite:

pytest tests/ -v --cov=dasycaus

📝 Citation

If you use this library in your research, please cite:

@software{roudane2024dasycaus,
  author = {Roudane, Merwan},
  title = {DASYCAUS: Dynamic Asymmetric Causality Tests in Python},
  year = {2024},
  url = {https://github.com/merwanroudane/dasycaus},
}

And the original methodology papers:

@article{hatemi2012asymmetric,
  title={Asymmetric causality tests with an application},
  author={Hatemi-J, Abdulnasser},
  journal={Empirical Economics},
  volume={43},
  number={1},
  pages={447--456},
  year={2012}
}

@article{hatemi2021dynamic,
  title={Dynamic Asymmetric Causality Tests with an Application},
  author={Hatemi-J, Abdulnasser},
  journal={arXiv preprint arXiv:2106.07612},
  year={2021}
}

🤝 Contributing

Contributions are welcome! Please feel free to submit a Pull Request. For major changes, please open an issue first to discuss what you would like to change.

1. Fork the repository
2. Create your feature branch (git checkout -b feature/AmazingFeature)
3. Commit your changes (git commit -m 'Add some AmazingFeature')
4. Push to the branch (git push origin feature/AmazingFeature)
5. Open a Pull Request

📄 License

This project is licensed under the MIT License - see the LICENSE file for details.

👤 Author

Dr. Merwan Roudane

• Email: [e-mail]
• GitHub: @merwanroudane

🙏 Acknowledgments

This library is a Python implementation of the methodology developed by:

• Prof. Abdulnasser Hatemi-J (UAE University)
• Dr. Alan Mustafa (IEEE)

Original GAUSS code: DASCT01 - Gauss Module for Estimating the Dynamic Asymmetric and Symmetric Causality Tests

📚 References

• 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.
• Toda, H.Y. and Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66, 225-250.
• Phillips, P.C., Shi, S., and Yu, J. (2015). Testing for multiple bubbles: historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043-1078.

🔍 Keywords

causality, Granger causality, asymmetric causality, dynamic causality, time series, econometrics, VAR model, bootstrap, Hatemi-J, oil prices, stock market, financial econometrics

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Note: This is an independent implementation for educational and research purposes. For the original GAUSS implementation, please contact the original authors.