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无条件协方差非恒定时的瞬时因果关系检验AI 解读

This article investigates the problem of testing instantaneous causality between vector autoregressive (VAR) variables with time-varying unconditional covariance. It is underlined that the standard test does not control the Type I errors, while the tests with White and heteroscedastic autocorrelation consistent (HAC) corrections can suffer from a severe loss of power when the covariance is not constant. Consequently, we propose a modified test based on a bootstrap procedure.…

时变方差下自回归过程二阶动态的检验AI 解读

This article considers the volatility modeling for autoregressive univariate time series. A benchmark approach is the stationary autoregressive conditional heteroscedasticity (ARCH) model of Engle. Motivated by real data evidence, processes with nonconstant unconditional variance and ARCH effects have been recently introduced. We take into account this type of nonstationarity in variance and propose simple testing procedures for ARCH effects. Adaptive McLeod and Li’s…