Dear colleague,
I am currently working on a similar topic for my thesis, and I would like to learn more about how to performed this test. Could you please share with me some guidance steps or codes for implementing these tests? I would greatly appreciate your help and advice.
This is the R language code I am trying to write according to the original paper A Lagrange multiplier test for causality in variance.
Could you give me some further guidance?
install.packages("nortsTest") library(nortsTest) # prepare the data data
Dear colleague,
I am sorry, but I can't help you om that statistic topic. It is really not my topic.
Thank you, Professor, for sharing your code. Could you please also share the reference for the code? It seems that the test in the code is based on a VAR model rather than the GARCH model used in the original paper "A Lagrange multiplier test for causality in variance". Samuel Oluwaseun Adeyemo
- Badges
- Science topic
- Similar topics
- Philosophy
- Esthetics
- Interpretation