Causality-in-variance
Posted: Fri Sep 23, 2016 7:33 am
Do you know hot to run the "Hafner and Herwartz" causality-in-variance test, or else called LM-GARCH?
It' s not particularly clear to me if this is the right way to do it:
-model the time series with GARCH model
-get the normalized residual
- open the obtained norm residuals in an Unrestricted VAR, check the lag criteria and choose the "best" lag
-run the Granger Causality
It' s not particularly clear to me if this is the right way to do it:
-model the time series with GARCH model
-get the normalized residual
- open the obtained norm residuals in an Unrestricted VAR, check the lag criteria and choose the "best" lag
-run the Granger Causality