Sökning: AMNE:(SOCIAL SCIENCES Business and economics)
> (2010-2011)
> (2010)
> Lunds universitet
> Örebro universitet >
The Effect of the S...
The Effect of the Spillover on the Granger Causality Test
-
- Mantalos, Panagiotis (författare)
- Lund University,Lunds universitet,Jönköping University,IHH, Nationalekonomi,Statistik,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM
-
- Shukur, Ghazi, 1955- (författare)
- Jönköping University,Linnéuniversitetet,Ekonomihögskolan, ELNU,Nationalekonomi och statistik /CAFO,Department of Economics, Jönköping International Business School, Jönköping University, Jönköping, Sweden,IHH, Nationalekonomi
-
(creator_code:org_t)
- 2010-09-06
- 2010
- Engelska.
-
Ingår i: Journal of Applied Statistics. - : Taylor & Francis. - 0266-4763 .- 1360-0532. ; 37:9, s. 1473-1486
- Relaterad länk:
-
http://dx.doi.org/10...
-
visa fler...
-
https://urn.kb.se/re...
-
https://doi.org/10.1...
-
https://urn.kb.se/re...
-
https://urn.kb.se/re...
-
https://lup.lub.lu.s...
-
visa färre...
Abstract
Ämnesord
Stäng
- In this paper, we investigate the properties of the Granger causality test in stationary and stable vector autoregressive models under the presence of spillover effects, i.e., causality in variance. The Wald test and the WW test (the Wald test with White’s proposed heteroskedasticity-consistent covariance matrix estimator imposed) are analyzed. The investigation is undertaken by using Monte Carlo simulation in which two different sample sizes and six different kinds of data generating process are used. The results show that the Wald test overrejects the null hypothesis both with and without the spillover effect, and that the overrejection in the latter case is more severe in larger samples. The size properties of the WW test are satisfactory when there is spillover between the variables. Only when there is feedback in the variance is the size of the WW test slightly affected. The Wald test is shown to have higher power than the WW test when the errors follow a GARCH(1,1) process without a spillover effect. When there is spillover, the power of both tests deteriorates, which implies that the spillover has a negative effect on the causality tests.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- causality in variance
- GARCH
- Granger causality
- volatility spillover
- Econometrics
- Ekonometri
- Statistics/Econometrics
- Statistik
- Statistik
- Granger causality
- causality in variance
- GARCH
- volatility spillover
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
Hitta via bibliotek
Till lärosätets databas