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It is useful to compare the critical values for the long-memory and short-memory frameworks for a more persistent variable than volatility, which, in addition to high persistence,
Both the Granger causality test statistics shown in Table 6 , which show strong forecasting power of the Divisia monetary aggregates for various measures of real activity, and
We also consider size-adjusted power. Apart from the Cauchy case, the size distortions when fixed- b critical values are used were small for all of the tests except the MR/S test.
If weight is in effect, see classification table for the total number
Using the asymptotic standard error assuming the null hypothesis.. If weight is in effect, see classification table for the total number
For this table, we used 10,000 simulations to estimate the size of two kernel implementations of our tests when they are performed using 5% asymptotic critical values on the null
There are 80 quarterly observations in the regression, and the regression is of the form yt =β1+β2x2t+β3x3t+β4x4t+ut 4.15 The relevant critical values for the test see table A2.6 in the
