A Lagrange multiplier test for causality in variance

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• 作者：Christian M. Hafner and Helmut Herwartz
• 关键词：Causality testing ; Multivariate volatility
• 刊名：Economics Letters
• 出版年：2006
• 出版时间：October 2006
• 年：2006
• 卷：93
• 期：1
• 页码：137-141
• 全文大小：105 K

文摘

We adapt the Lagrange multiplier (LM) principle to test for noncausality in variance of financial returns. The new test is compared with a Portmanteau statistic [Cheung, Y.W., Ng, L.K., 1996. A causality in variance test and its application to financial market prices. Journal of Econometrics 72, 33–48.]. A Monte Carlo study reveals superior power of the LM test.