Pantelidis, Theologos, Pittis, Nikitas (2004) Testing for Granger causality in variance in the presence of causality in mean. Economics Letters, 85 (2). pp. 201-207. ISSN 0165-1765. (doi:10.1016/j.econlet.2004.04.006) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:56708)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
| Official URL: http:/dx.doi.org/10.1016/j.econlet.2004.04.006 |
Abstract
In this paper we investigate the effects of neglected causality in mean, on the size properties of some recently proposed tests for causality in variance. The results from Monte Carlo simulations suggest that the tests for causality in variance suffer from severe size distortions when strong causality-in-mean effects are left unaccounted for. Therefore, any conditional mean effects should be filtered out by a parametric model that explicitly allows for the presence of causality in mean before any inferences on causality in variance are drawn.
| Item Type: | Article |
|---|---|
| DOI/Identification number: | 10.1016/j.econlet.2004.04.006 |
| Uncontrolled keywords: | Causality in variance; Causality in mean; GARCH |
| Subjects: | H Social Sciences |
| Divisions: | Divisions > Kent Business School - Division > Kent Business School (do not use) |
| Depositing User: | Tracey Pemble |
| Date Deposited: | 01 Aug 2016 10:59 UTC |
| Last Modified: | 16 Nov 2021 10:23 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/56708 (The current URI for this page, for reference purposes) |
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