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