ccgarch (version 0.2.2)

hh.test: Carrying out the test of Hafner and Herwartz

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

hh.test(dvar)

Arguments

dvar

$(T \times N)$

Value

• A vector containing the test statistic and the associated p-value

References

Hafner, C.M. and H. Herwartz (2006), A Lagrange Multiplier Test for Causality in Variance. Economics Letters 93, 137--141.

See Also

nt.test