Testing for causality in variance in the presence of breaks
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||Causality tests, Structural change, Volatility|
|Persistent URL||dx.doi.org/10.1016/j.econlet.2005.05.029, hdl.handle.net/1765/11131|
van Dijk, D.J.C., Osborn, D.R., & Sensier, M.. (2005). Testing for causality in variance in the presence of breaks. Economics Letters, 89(2), 193–199. doi:10.1016/j.econlet.2005.05.029