hh_test: Carrying out the test of Hafner and Herwartz
In hoanguc3m/ccgarch: Conditional Correlation GARCH models
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
hh.test(dvar)
Arguments
dvar
(T \times N)
Value
A vector containing the test statistic and the associated p-value
References
Hafner, C.M. and H. Herwartz (2006),
“A Lagrange Multiplier Test for Causality in Variance.”
Economics Letters
93, 137–141.
See Also
hoanguc3m/ccgarch documentation built on May 29, 2019, 11:05 p.m.
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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 | hh.test(dvar)
|
Arguments
dvar |
(T \times N) |
Value
A vector containing the test statistic and the associated p-value
References
Hafner, C.M. and H. Herwartz (2006), “A Lagrange Multiplier Test for Causality in Variance.” Economics Letters 93, 137–141.
See Also
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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