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.
|Causality tests, Structural change, Volatility|
|Hypothesis Testing (jel C12), Time-Series Models; Dynamic Quantile Regressions (jel C22)|
|Organisation||Erasmus Research Institute of Management|
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