Chang, Chia-ling; McAleer, Michael - In: Econometrics : open access journal 5 (2017) 1, pp. 1-5
(1996). A subsequent development was the Lagrange Multiplier (LM) test of non-causality in the conditional variance by … Hafner and Herwartz (2006), who provided simulation results to show that their LM test was more powerful than the portmanteau … statistic for sample sizes of 1000 and 4000 observations. While the LM test for causality proposed by Hafner and Herwartz (2006 …