Data · dataset · 2015
Testing Instantaneous Causality in Presence of Non Constant Unconditional Covariance
Listed in DataCite
The problem of testing instantaneous causality between Vector Autoregressive (VAR) variables with time-varying unconditional covariance is investigated.
Description
It is underlined that the standard test does not control the type I errors, while the tests with White (1980) and Heteroscedastic Autocorrelation Consistent (HAC) corrections can suffer from a severe loss of power when the covariance is not constant. Consequently a modified test based on a bootstrap procedure is proposed.
The relevance of the modified test is illustrated through a simulation study. The tests considered in this paper are also compared by investigating the instantaneous causality relations between US macroeconomic variables.
Links
Where it is published
- Repository landing page tandf.figshare.com/articles/dataset/Testing_Instantaneous_Causality_in_Presence_o… ↗
landing page · from DataCite
- DOI doi.org/10.6084/m9.figshare.1032772.v1 ↗
DOI / persistent id · from DataCite
Documentation and papers
- Creative Commons Attribution 4.0 International creativecommons.org/licenses/by/4.0/legalcode ↗
license · from DataCite
- IsSupplementTo 10.1080/07350015.2014.920614 doi.org/10.1080/07350015.2014.920614 ↗
publication · from DataCite
Catalogue records · 2
- DataCite API api.datacite.org/dois/10.6084/m9.figshare.1032772.v1 ↗
metadata API · from DataCite
- DataCite Commons commons.datacite.org/doi.org/10.6084/m9.figshare.1032772.v1 ↗
catalogue entry · from DataCite
Topics
- Stated by source
- Mathematics · Sociology
- From keywords
- Chemistry · Life Sciences · Mathematics & Statistics · Social Science
- Inferred from text
- Simulation 75%
Related
Provenance · 1 source records, 15 field assertions
| Source | Key | Last seen | Raw |
|---|---|---|---|
| DataCite | 10.6084/m9.figshare.1032772.v1 | 12 d ago | JSON v1 |
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|---|---|---|---|
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| concepts[field].fos:mathematics | source · DataCite | connector:datacite@1.0.0 | |
| concepts[field].fos:sociology | source · DataCite | connector:datacite@1.0.0 | |
| concepts[field].local:field:chemistry | mapping · DataCite | vocabulary-mapper@1.0.0 | keywords['Chemistry'] |
| concepts[field].local:field:life-sciences | mapping · DataCite | vocabulary-mapper@1.0.0 | keywords['Biological Sciences'] |
| concepts[field].local:field:mathematics-statistics | mapping · DataCite | vocabulary-mapper@1.0.0 | keywords['Mathematics'] |
| concepts[field].local:field:social-science | mapping · DataCite | vocabulary-mapper@1.0.0 | keywords['Sociology'] |
| concepts[method].local:method:simulation | enrichment · DataCite | keyword-concept-rules@1.0.0 | title+description (75%) |
| created_date | source · DataCite | connector:datacite@1.0.0 | |
| description | source · DataCite | connector:datacite@1.0.0 | /data/attributes/descriptions |
| license | source · DataCite | connector:datacite@1.0.0 | /data/attributes/rightsList |
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| title | source · DataCite | connector:datacite@1.0.0 | /data/attributes/titles/0/title |
| updated_date | source · DataCite | connector:datacite@1.0.0 |