%0 Journal Article
%T Properties of Time-Varying Causality Tests in the Presence of Multivariate Stochastic Volatility
%A Daiki Maki
%J Open Journal of Statistics
%P 777-788
%@ 2161-7198
%D 2016
%I Scientific Research Publishing
%R 10.4236/ojs.2016.65064
%X This paper compares the statistical
properties of time-varying causality tests when errors of variables have
multivariate stochastic volatility (SV). The time-varying causal-ity tests in
this paper are based on a logistic smooth transition autoregressive model. The
compared time-varying causality tests include asymptotic tests,
heteroskedasticity-robust tests, and tests using wild bootstrap. Our simulation
results show that asymptotic tests and heteroskedasticity-robust counterparts
have size distortions under multivariate SV, whereas tests using wild bootstrap
have better size properties regardless of type of error. In particular, the
time-varying causality test with first-order Taylor approximation using wild
bootstrap has better statistical properties.
%K Time-Varying Causality Tests
%K Wild Bootstrap
%K Multivariate Stochastic Volatility
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=71110