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
Date of revision:
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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- Jérôme HENRY & Jens WEIDMANN, 1995.
"Asymmetry in the EMS revisited: Evidence from the Causality Analysis of Daily Eurorates,"
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- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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- Hecq, Alain, 1995.
"Unit root tests with level shift in the presence of GARCH,"
Elsevier, vol. 49(2), pages 125-130, August.
- Hecq, Alain, 1995. "Unit root tests with level shift in the presence of GARCH," Open Access publications from Maastricht University urn:nbn:nl:ui:27-15787, Maastricht University.
- Stavros Degiannakis & Evdokia Xekalaki, 2007. "Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models," Applied Financial Economics, Taylor and Francis Journals, vol. 17(2), pages 149-171.
- Jerome Henry & Jens Weidmann, 2005. "The French-German Interest Rate Differential Since German," International Finance 0503009, EconWPA.
- R. Scott Hacker & Abdulnasser Hatemi-J, 2006. "Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application," Applied Economics, Taylor and Francis Journals, vol. 38(13), pages 1489-1500.
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