Testing for causality in variance in the presence of breaks

被引：41
作者：
van Dijk, D
Osborn, DR
Sensier, M
机构：
[1] Erasmus Univ, Inst Econometr, NL-3000 DR Rotterdam, Netherlands
[2] Univ Manchester, Ctr Growth & Business Cycle Res, Manchester M13 9PL, Lancs, England
来源：
ECONOMICS LETTERS | 2005年 / 89卷 / 02期
基金：
英国经济与社会研究理事会;
关键词：
volatility; causality tests; structural change;
D O I：
10.1016/j.econlet.2005.05.029
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Causality-in-variance tests suffer from severe size distortions in the presence of structural breaks in volatility, when such breaks are not taken into account. Pre-testing the series for structural changes in volatility largely remedies the problem. (c) 2005 Elsevier B.V. All rights reserved.
引用
收藏
页码：193 / 199
页数：7
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