11. |
- Månsson, Kristofer, 1983-, et al.
(author)
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Granger Causality Test in the Presence of Spillover Effects
- 2009
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In: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 38:10, s. 2039-2059
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Journal article (peer-reviewed)abstract
- In this article, we investigate the effect of spillover (i.e., causality in variance) on the reliability of Granger causality test based on ordinary least square estimates. We studied eight different versions of the test both, with and without Whites heteroskedasticity consistent covariance matrix (HCCME). The properties of the tests are investigated by means of a Monte Carlo experiment where 21 different data generating processes (DGP) are used and a number of factors that might affect the test are varied. The result shows that the best choice to test for Granger causality under the presence of spillover is the Lagrange Multiplier test with HCCME.
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12. |
- PirouziFard, MirNabi, et al.
(author)
-
Approximations of variances and covariances for order statistics from the standard extreme value distribution
- 2008
-
In: Communications in Statistics: Simulation and Computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 37:8, s. 1500-1506
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Journal article (peer-reviewed)abstract
- We consider simple approximations of variances and covariances for order statistics from the standard extreme value distribution. Exact values and simulation results of the variances and covariances for certain sample sizes are used to determine the validity of the suggested approximations.
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13. |
- Voinov, Vassilly, et al.
(author)
-
A comparative study of some modified chi-squared tests
- 2009
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In: Communications in statistics. Simulation and computation. - : Taylor & Francis. - 0361-0918 .- 1532-4141. ; 38:2, s. 355-367
-
Journal article (peer-reviewed)abstract
- Some recent results in the theory and applications of modified chi-squared goodnessof-fit tests are briefly discussed. It seems that for the first time power of modified chi-squared type tests for the logistic and three-parameter Weibull distributions based on moment type estimators is studied. Power of different modified tests against some alternatives for equiprobable fixed or random grouping intervals, and for Neyman–Pearson classes is investigated. It is shown that power of test statistic essentially depends on the quantity of Fisher’s sample information this statistic uses. Some recommendations on implementing modified chi-squared type tests are given.
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