Testing Instantaneous Causality in Presence of Non Constant Unconditional Covariance
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资源简介：
The problem of testing instantaneous causality between Vector Autoregressive (VAR) variables with time-varying unconditional covariance is investigated. It is underlined that the standard test does not control the type I errors, while the tests with White (1980) and Heteroscedastic Autocorrelation Consistent (HAC) corrections can suffer from a severe loss of power when the covariance is not constant. Consequently a modified test based on a bootstrap procedure is proposed. The relevance of the modified test is illustrated through a simulation study. The tests considered in this paper are also compared by investigating the instantaneous causality relations between US macroeconomic variables.
提供机构：
Taylor & Francis
创建时间：
2016-01-19
