Testing linear relationships between non-constant variances of economic variables
Testing linear relationships between non-constant variances of economic variables
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DOI：
10.1016/j.econmod.2020.05.007
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发表时间：
2020-08
影响因子：
4.7
通讯作者：
Junichi Hirukawa;Hamdi Raïssi
中科院分区：
文献类型：
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作者：
Junichi Hirukawa;Hamdi Raïssi
我们的目标是评估经济变量的非常数方差之间的线性关系。一个两步的方法提出来解决这个问题。首先，通过向量自回归（VAR）模型对条件均值进行滤波。然后，对残差应用自举累积和（Bootstrap cumulative sum，CACSUM）检验。模拟表明，一个良好的行为的测试，在实践中经常遇到的样本量。我们提供的工具旨在通过经济变量的非常数方差来突出关系或绘制经济变量之间的共同模式。本文的输出是考虑美国地区数据来说明的。
We aim to assess linear relationships between the non-constant variances of economic variables. A two-step methodology is proposed to solve this problem. First, the conditional mean is filtered by mean of a vector autoregressive (VAR) model. Then, a bootstrap cumulative sum (CUSUM) test is applied to the residuals. Simulations suggest a good behavior of the test, for sample sizes commonly encountered in practice. The tool we provide is intended to highlight relations, or draw common patterns between economic variables, through their non-constant variances. The outputs of this paper are illustrated considering U.S. regional data.