Testing for causality in variance in the presence of breaks

van Dijk, Dick; Osborn, Denise; Sensier, Marianne

doi:10.1016/j.econlet.2005.05.029

D.J.C. van Dijk (Dick), D.R. Osborn (Denise) and M. Sensier (Marianne)

2005-11-01

Testing for causality in variance in the presence of breaks

Economics Letters , Volume 89 - Issue 2 p. 193- 199

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.

Additional Metadata
Keywords	Causality tests, Structural change, Volatility
JEL	Hypothesis Testing (jel C12), Time-Series Models; Dynamic Quantile Regressions (jel C22)
Persistent URL	doi.org/10.1016/j.econlet.2005.05.029, hdl.handle.net/1765/11131
Journal	Economics Letters
Organisation	Erasmus Research Institute of Management
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	van Dijk, D., Osborn, D., & 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

Testing for causality in variance in the presence of breaks

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