{"data":{"id":"10.6084/m9.figshare.1032772.v1","type":"dois","attributes":{"doi":"10.6084/m9.figshare.1032772.v1","prefix":"10.6084","suffix":"m9.figshare.1032772.v1","identifiers":[],"alternateIdentifiers":[],"creators":[{"name":"Gianetto, Quentin Giai","nameType":"Personal","givenName":"Quentin Giai","familyName":"Gianetto","affiliation":[],"nameIdentifiers":[]},{"name":"RaÏSsi, Hamdi","nameType":"Personal","givenName":"Hamdi","familyName":"RaÏSsi","affiliation":[],"nameIdentifiers":[]}],"titles":[{"title":"Testing Instantaneous Causality in Presence of Non Constant Unconditional Covariance"}],"publisher":"Taylor \u0026 Francis","container":{},"publicationYear":2015,"subjects":[{"subject":"Science Policy"},{"subject":"Mathematics"},{"subject":"FOS: Mathematics","schemeUri":"http://www.oecd.org/science/inno/38235147.pdf","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"FOS: Mathematics","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"Biological Sciences"},{"subject":"Sociology"},{"subject":"FOS: Sociology","schemeUri":"http://www.oecd.org/science/inno/38235147.pdf","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"FOS: Sociology","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"Chemistry"},{"subject":"Earth and Environmental Sciences"}],"contributors":[],"dates":[{"date":"2015-01-02","dateType":"Created"},{"date":"2016-01-19","dateType":"Updated"},{"date":"2015","dateType":"Issued"}],"language":null,"types":{"ris":"DATA","bibtex":"misc","citeproc":"dataset","schemaOrg":"Dataset","resourceType":"Dataset","resourceTypeGeneral":"Dataset"},"relatedIdentifiers":[{"relationType":"IsSupplementTo","relatedIdentifier":"10.1080/07350015.2014.920614","relatedIdentifierType":"DOI"},{"relationType":"IsPreviousVersionOf","relatedIdentifier":"10.6084/m9.figshare.1032772","relatedIdentifierType":"DOI"}],"relatedItems":[],"sizes":["0 Bytes"],"formats":[],"version":null,"rightsList":[{"rights":"Creative Commons Attribution 4.0 International","rightsUri":"https://creativecommons.org/licenses/by/4.0/legalcode","schemeUri":"https://spdx.org/licenses/","rightsIdentifier":"cc-by-4.0","rightsIdentifierScheme":"SPDX"}],"descriptions":[{"description":"The problem of testing instantaneous causality between Vector Autoregressive (VAR) variables with time-varying unconditional covariance is investigated. It is underlined that the standard test does not control the type I errors, while the tests with White (1980) and Heteroscedastic Autocorrelation Consistent (HAC) corrections can suffer from a severe loss of power when the covariance is not constant. Consequently a modified test based on a bootstrap procedure is proposed. The relevance of the modified test is illustrated through a simulation study. The tests considered in this paper are also compared by investigating the instantaneous causality relations between US macroeconomic variables.","descriptionType":"Abstract"}],"geoLocations":[],"fundingReferences":[],"xml":"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","url":"https://tandf.figshare.com/articles/dataset/Testing_Instantaneous_Causality_in_Presence_of_Non_Constant_Unconditional_Covariance/1032772/1","contentUrl":null,"metadataVersion":3,"schemaVersion":"http://datacite.org/schema/kernel-4","source":"mds","isActive":true,"state":"findable","reason":null,"viewCount":0,"viewsOverTime":[],"downloadCount":0,"downloadsOverTime":[],"referenceCount":0,"citationCount":0,"citationsOverTime":[],"partCount":0,"partOfCount":0,"versionCount":0,"versionOfCount":0,"created":"2016-01-19T01:31:56.000Z","registered":"2016-01-19T01:31:57.000Z","published":"2015","updated":"2020-09-04T23:04:26.000Z"},"relationships":{"client":{"data":{"id":"figshare.ars","type":"clients"}},"provider":{"data":{"id":"otjm","type":"providers"}},"media":{"data":{"id":"10.6084/m9.figshare.1032772.v1","type":"media"}},"references":{"data":[]},"citations":{"data":[]},"parts":{"data":[]},"partOf":{"data":[]},"versions":{"data":[]},"versionOf":{"data":[]}}}}