Testing Instantaneous Causality in Presence of Nonconstant Unconditional Covariance
研究了当向量自回归变量的无条件协方差随时间变化时，如何检验瞬时因果关系。标准检验无法控制第一类错误，而White和HAC修正检验在协方差非恒定时会严重损失检验力，因此提出基于自助法的修正检验，并通过模拟和美国宏观经济数据验证其有效性。
This article investigates the problem of testing instantaneous causality between vector autoregressive (VAR) variables with time-varying unconditional covariance. It is underlined that the standard test does not control the Type I errors, while the tests with White and heteroscedastic autocorrelation consistent (HAC) corrections can suffer from a severe loss of power when the covariance is not constant. Consequently, we propose a modified test based on a bootstrap procedure. We illustrate the relevance of the modified test through a simulation study. The tests considered in this article are also compared by investigating the instantaneous causality relations between U.S. macroeconomic variables.