Testing for causality in variance in the presence of breaks

Dick van Dijk; Denise R. Osborn; Marianne Sensier

doi:10.1016/j.econlet.2005.05.029

Testing for causality in variance in the presence of breaks

Dick van Dijk, Denise R. Osborn, Marianne Sensier

Economics

Research output: Contribution to journal › Article › peer-review

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. © 2005 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	193-199
Number of pages	6
Journal	Economics Letters
Volume	89
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2005.05.029
Publication status	Published - Nov 2005

Keywords

Causality tests
Structural change
Volatility

Access to Document

10.1016/j.econlet.2005.05.029

Cite this

@article{0bea357380264e4a955289210f660927,

title = "Testing for causality in variance in the presence of breaks",

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. {\textcopyright} 2005 Elsevier B.V. All rights reserved.",

keywords = "Causality tests, Structural change, Volatility",

author = "{van Dijk}, Dick and Osborn, {Denise R.} and Marianne Sensier",

year = "2005",

month = nov,

doi = "10.1016/j.econlet.2005.05.029",

language = "English",

volume = "89",

pages = "193--199",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier BV",

number = "2",

}

TY - JOUR

T1 - Testing for causality in variance in the presence of breaks

AU - van Dijk, Dick

AU - Osborn, Denise R.

AU - Sensier, Marianne

PY - 2005/11

Y1 - 2005/11

N2 - 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. © 2005 Elsevier B.V. All rights reserved.

AB - 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. © 2005 Elsevier B.V. All rights reserved.

KW - Causality tests

KW - Structural change

KW - Volatility

U2 - 10.1016/j.econlet.2005.05.029

DO - 10.1016/j.econlet.2005.05.029

M3 - Article

SN - 0165-1765

VL - 89

SP - 193

EP - 199

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

Testing for causality in variance in the presence of breaks

Abstract

Keywords

Access to Document

Fingerprint

Cite this