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Sökning: LAR1:lu > Högskolan i Jönköping > Fritt online > Mantalos Panagiotis

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  • Mantalos, Panagiotis, et al. (författare)
  • An Examination of the Robustness of the Vector Autoregressive Granger-Causality Test in the Presence of GARCH and Variance Shifts
  • 2007
  • Ingår i: International Review of Business Research Papers. - 1832-9543. ; 3:5, s. 280-296
  • Tidskriftsartikel (refereegranskat)abstract
    • The properties of the Granger-causality test in stationary and stable Vector Autoregressive (VAR) models are studied with different types of volatility processes imposed on the unconditional variance. For this test, it is examined how the size and power properties are affected by different magnitudes of GARCH processes and by structural shifts in the volatility. The study has been conducted by means of Monte Carlo simulations for different sample sizes. Our 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 in the presence of GARCH disturbances compared to the case of white noise residuals. When a structural variance break is imposed, the size problem is rather severe, and the power functions are lower compared to the case with the pure GARCH processes.
  • Shukur, Ghazi, et al. (författare)
  • Size and Power of the RESET Test as Applied to Systems of Equations: A Bootstrap Approach
  • 2004
  • Ingår i: Journal of Modern Applied Statistical Methods. - JMASM. - 1538-9472. ; 3:2, s. 370-385
  • Tidskriftsartikel (refereegranskat)abstract
    • The size and power of various generalization of the RESET test for functional misspecification are investigated, using the “Bootsrap critical values”, in systems ranging from one to ten equations. The properties of 8 versions of the test are studied using Monte Carlo methods. The results are then compared with another study of Shukur and Edgerton (2002), in which they used the asymptotic critical values instead and found that in general only one version of the tests works well regarding size properties. In our study, when applying the bootstrap critical values, we find that all the tests exhibits correct size even in large systems. The power of the test is low, however, when the number of equations grows and the correlation between the omitted variables and the RESET proxies is small.
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  • Resultat 1-2 av 2
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tidskriftsartikel (2)
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refereegranskat (2)
Shukur, Ghazi, (2)
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Linnéuniversitetet (2)
Lunds universitet (2)
Engelska (2)
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