2004-11-05
Testing for causality in variance in the presence of breaks
Publication
Publication
We examine the size properties of tests for causality in variance in the presence of structural breaks in volatility. Extensive Monte Carlo simulations demonstrate that these tests suffer from severe size distortions when such breaks are not taken into account. Pre-testing the series for structural changes in volatility is shown to largely remedy the problem.
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| hdl.handle.net/1765/1801 | |
| Econometric Institute Research Papers | |
| Organisation | Erasmus School of Economics |
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van Dijk, D., Osborn, D., & Sensier, M. (2004). Testing for causality in variance in the presence of breaks (No. EI 2004-48). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1801 |
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