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  1. J

    Causality test

    Do you know what is the "Hafner and Herwartz" causality-in-variance test, or else called LM-GARCH? And how you run it on eviews (or gretl)? If I have understood it well, it is a Granger causality test between Garch standardized residuals. Is this correct? Any help would be very much...