A Lagrange multiplier test for causality in variance
(2006) Economics Letters — Vol. 93, n° 1, p. 137-141 (2006)
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- Authors
- Abstract
- 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.
- Affiliations
Christian-Albrechts-Universität zu Kiel Institut für Statistik und Ökonometrie
Citations
Hafner, C., & Herwartz, H. (2006). A Lagrange multiplier test for causality in variance. Economics Letters, 93(1), 137-141. https://doi.org/10.1016/j.econlet.2006.04.008 (Original work published 2006)