Arbeitspapier
Testing for vector autoregressive dynamics under heteroskedasticity
In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process and takes contemporaneous error correlation implicitly into account. Via a Monte Carlo investigation empirical size and power properties of the new method are illustrated. We compare the bootstrap approach with standard procedures either ignoring heteroskedasticity or adopting a spirit of the White correction. In terms of empirical size the proposed method clearly outperforms competing approaches without paying any price in terms of size adjusted power. We apply the alternative tests to investigate the potential of causal relationships linking daily prices of natural gas and crude oil. Unlike standard inference ignoring time varying error variances, heteroskedasticity consistent test procedures do not deliver any evidence in favor of short run causality between the two series.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2003,4
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
heteroskedasticity
bootstrap
vector autoregression
hypothesis testing
causality
energy markets
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hafner, Christian M.
Herwartz, Helmut
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2002
- Handle
- URN
-
urn:nbn:de:kobv:11-10051450
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Hafner, Christian M.
- Herwartz, Helmut
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2002
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