Testing for causality in variance in the presence of breaks
AbstractWe examine the size properties of tests for causality in variance in the presence of structural breaks in volatility. Extensive Monte Carlo simulations demonstrate that these tests suffer from severe size distortions when such breaks are not taken into account. Pre-testing the series for structural changes in volatility is shown to largely remedy the problem.
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Bibliographic InfoPaper provided by Economics, The Univeristy of Manchester in its series Centre for Growth and Business Cycle Research Discussion Paper Series with number 45.
Length: 11 pages
Date of creation: 2004
Date of revision:
Other versions of this item:
- van Dijk, Dick & Osborn, Denise R. & Sensier, Marianne, 2005. "Testing for causality in variance in the presence of breaks," Economics Letters, Elsevier, vol. 89(2), pages 193-199, November.
- Dijk, D.J.C. van & Osborn, D.R. & Sensier, M., 2004. "Testing for causality in variance in the presence of breaks," Econometric Institute Report EI 2004-48, Erasmus University Rotterdam, Econometric Institute.
- NEP-ALL-2005-01-23 (All new papers)
- NEP-ECM-2005-01-23 (Econometrics)
- NEP-ETS-2005-01-23 (Econometric Time Series)
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