English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

The problem of testing instantaneous causality between variables withtime-varying unconditional variance is investigated. It is shown that theclassical tests based on the assumption of stationary processes must be avoidedin our non standard framework. More precisely we underline that the standardtest does not control the type I errors, while the tests with White (1980) andHeteroscedastic Autocorrelation Consistent (HAC) corrections can suffer from asevere loss of power when the variance is not constant. Consequently a modifiedtest based on a bootstrap procedure is proposed. The relevance of the modifiedtest is underlined through a simulation study. The tests considered in thispaper are also compared by investigating the instantaneous causality relationsbetween US macroeconomic variables.

Testing instantaneous causality in presence of non constant unconditional variance