Article ID Journal Published Year Pages File Type
9549235 Economics Letters 2005 7 Pages PDF
Abstract
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.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Testing for causality in variance in the presence of breaks
Authors
, , ,