EconPapers    
Economics at your fingertips  
 

Testing linear relationships between non-constant variances of economic variables

Junichi Hirukawa and Hamdi Raïssi

Economic Modelling, 2020, vol. 90, issue C, 182-189

Abstract: 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.

Keywords: Common variance patterns; VAR models; CUSUM tests; Wild bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C32 R10 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S026499931931404X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:90:y:2020:i:c:p:182-189

DOI: 10.1016/j.econmod.2020.05.007

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-07-14
Handle: RePEc:eee:ecmode:v:90:y:2020:i:c:p:182-189