Hafner, C.M.; Herwartz, H. - Erasmus University Rotterdam, Econometric Institute - 2004
Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated … variance in terms of asymptotic and finite sample properties. The Wald test is shown to have superior power properties under a … sequence of local alternatives. Furthermore, we show by simulation that the Wald test is quite robust to misspecification of …