IGARCH effect on autoregressive lag length selection and causality tests
AbstractUsing Monte Carlo experiments, we show how information criteria determine, in the presence of GARCH errors, an optimal lag length in univariate time series and causality tests. We illustrate the simulations by testing the presence of serial correlation in exchange rates as well as Granger-causality between interest rates.
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Bibliographic InfoPaper provided by Maastricht University in its series Open Access publications from Maastricht University with number urn:nbn:nl:ui:27-15786.
Date of creation: 1996
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Publication status: Published in Applied economics letters (1996) v.3, p.317-323
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Other versions of this item:
- Alain Hecq, 1996. "IGARCH effect on autoregressive lag length selection and causality tests," Applied Economics Letters, Taylor and Francis Journals, vol. 3(5), pages 317-323.
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