lnu.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
The Effect of the GARCH(1,1) on the Granger Causality Test in Stable VAR Models
Lund University.
Växjö University, Faculty of Humanities and Social Sciences, School of Management and Economics. Nationalekonomi och Statistik. (CAFO)ORCID iD: 0000-0002-3416-5896
Jönköping University.
2007 (Swedish)In: Journal of Modern Applied Statistical Methods, ISSN 1538-9472, Vol. 6, no 2, article id 12Article in journal (Refereed) Published
Abstract [en]

Using Monte Carlo methods, the properties of Granger causality test in stable VAR models are studied under the presence of different magnitudes of GARCH effects in the error terms. Analysis reveals that substantial GARCH effects influence the size properties of the Granger causality test, especially in small samples. The power functions of the test are usually slightly lower when GARCH effects are imposed among the residuals compared with the case of white noise residuals.

Place, publisher, year, edition, pages
2007. Vol. 6, no 2, article id 12
National Category
Economics
Research subject
Economy, Economics
Identifiers
URN: urn:nbn:se:vxu:diva-2833OAI: oai:DiVA.org:vxu-2833DiVA, id: diva2:202789
Available from: 2007-12-19 Created: 2007-12-19 Last updated: 2020-01-24Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Full text

Authority records BETA

Mantalos, PanagiotisShukur, Ghazi

Search in DiVA

By author/editor
Mantalos, PanagiotisShukur, Ghazi
By organisation
School of Management and Economics
In the same journal
Journal of Modern Applied Statistical Methods
Economics

Search outside of DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric score

urn-nbn
Total: 45 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf