Hafner, Christian M. (contributor); … - 2004 - [Elektronische Ressource]
-
ity model, such as multivariate GARCH (or BEKK), and construct a Wald test on
noncausality in variance. We compare both … approaches to testing causality in vari-
ance in terms of asymptotic and finite sample properties. The Wald test is shown to
have … superior power properties under a sequence of local alternatives. Furthermore,
we show by simulation that the Wald test is …