Matlab code for Hill, J. B. and K. Motegi (2017, updated 2018). A Max-Correlation White Noise Test for Weakly Dependent Time Series, technical report. The main code generate latex tables of rejection frequencies automatically. The code includes the bootstrap max-correation test with automatic lag selection.
Gauss code for Hill, J.B. (2010). On Tail Index Estimation for Dependent, Heterogeneous Data, Econometric Theory 26, 1398-1436.
Gauss code for Hill, J.B. (2012). Least Tail-Trimmed Squares for Infinite Variance Autoregresions, Journal of Time Series Analysis 34, 168-186.
Gauss code for Hill, J.B. (2007). Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship, Journal of Applied Econometrics 22, 747-765.
This program is a simplified version of the above program, designed for a bivariate process W = [X,Y]’ where X and Y may have any dimension.