Testing Instantaneous Causality in Presence of Nonconstant Unconditional Covariance
Bibliographic Data
| ID | 19417487 |
|---|---|
| Authors | Quentin Giai Gianetto (0000-0001-6815-2498, Institut de recherche mathématique de Rennes), Hamdi Raïssi (0000-0002-3178-1829, Institut de recherche mathématique de Rennes) |
| Year | 2015 |
| Volume | 33 |
| Issue | 1 |
| Pages | 46-53 |
| Publication date | 2015-01-02 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2014.920614 |
| OpenAlex | W2021962923 |
| Language | EN |
| References cited | 45 |
This article investigates the problem of testing instantaneous causality between vector autoregressive (VAR) variables with time-varying unconditional covariance. It is underlined that the standard test does not control the Type I errors, while the tests with White and heteroscedastic autocorrelation consistent (HAC) corrections can suffer from a severe loss of power when the covariance is not constant. Consequently, we propose a modified test based on a bootstrap procedure. We illustrate the relevance of the modified test through a simulation study. The tests considered in this article are also compared by investigating the instantaneous causality relations between U.S. macroeconomic variables
Autocorrelation · Autoregressive model · Covariance · Econometrics · Heteroscedasticity · Statistical hypothesis testing · Statistics · Vector autoregression · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
New Introduction to Multiple Time Series Analysis
Multivariate GARCH models
Output Fluctuations in the United States
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
Investigating Causal Relations by Econometric Models and Cross-spectral Methods
Testing for Volatility Changes in U.S. Macroeconomic Time Series
Monetarism and the Aggregate Economy
Oil and the Macroeconomy since World War II
| Highly cited | No |
|---|