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ccgarch (version 0.2.2)

nt.test: Carrying out the test of Nakatani and Ter"asvirta

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

nt.test(dvar)

Arguments

dvar
$(T \times N)$

Value

  • A matrix containing the test statistics of the standard (non-robust) test and the robust version, and the associated p-values

References

Nakatani, T and T. Ter"asvirta (2010), An Alternative Test for Causality in Variance in the Conditional Correlation GARCH models. mimeo, Stockholm School of Economics.

See Also

hh.test