Testing linear relationships between non-constant variances of economic variables

Junichi Hirukawa, HAMDI RAISSI

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

Resumen

We aim to assess linear relationships between the non-constant variances of economic variables. A two-step methodology is proposed to solve this problem. First, the conditional mean is filtered by mean of a vector autoregressive (VAR) model. Then, a bootstrap cumulative sum (CUSUM) test is applied to the residuals. Simulations suggest a good behavior of the test, for sample sizes commonly encountered in practice. The tool we provide is intended to highlight relations, or draw common patterns between economic variables, through their non-constant variances. The outputs of this paper are illustrated considering U.S. regional data.

Idioma originalInglés
Páginas (desde-hasta)182-189
Número de páginas8
PublicaciónEconomic Modelling
Volumen90
DOI
EstadoPublicada - ago. 2020
Publicado de forma externa

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