Title of article
Testing for causality in variance in the presence of breaks
Author/Authors
Dick van Dijk، نويسنده , , Denise R. Osborn، نويسنده , , Marianne Sensier، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
7
From page
193
To page
199
Abstract
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
Volatility , Structural change , Causality tests
Journal title
Economics Letters
Serial Year
2005
Journal title
Economics Letters
Record number
435790
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