nt_test: Carrying out the test of Nakatani and Ter\"asvirta

Description Usage Arguments Value References See Also

Description

This function computes the test statistic and the associated p-value of the test for causality in conditiona variance in the CC-GARCH models.

Usage

1
    nt.test(dvar)

Arguments

dvar

(T \times N)

Value

A matrix containing the test statistics of the standard (non-robust) test and the robust version, and the associated p-values

References

Nakatani, T and T. Ter\"asvirta (2010), “An Alternative Test for Causality in Variance in the Conditional Correlation GARCH models.” mimeo, Stockholm School of Economics.

See Also

hh.test


ccgarch documentation built on May 29, 2017, 12:58 p.m.

Related to nt_test in ccgarch...