How to run CCF based causality in mean and variance test (Cheung and Ng)

[vaibhav aggarwal]

Dear All,

Can somebody help me on how to run How to run CCF based causality in mean and variance test (Cheung and Ng) test in Stata for weekly data for the understanding relationship between oil prices and stock market at a sectoral level (sub-indices). The reference paper academic paper where this technique is used is - https://www.sciencedirect.com/scienc...59056016302702

[Phil Bromiley]

You didn't get a quick answer. You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output and sample data using dataex.

It is also more likely to get a useful response if you clearly explain what you want - while folks sometimes do read papers to help someone, it is more likely to get a response if you tell us what the paper says so we can help you without the delving into a paper.