Multivariate causality tests with simulation and application

This paper extends the test established by Hiemstra and Jones (1994) to develop a nonlinear causality test in a multivariate setting. A Monte Carlo simulation is conducted to demonstrate the superiority of our proposed multivariate test over its bivariate counterpart. In addition, we illustrate the applicability of our proposed test for analyzing the relationships among different Chinese stock market indices.

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Year of publication:	2011
Authors:	Bai, Zhidong ; Li, Heng ; Wong, Wing-Keung ; Zhang, Bingzhi
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 8, p. 1063-1071
Publisher:	Elsevier
Keywords:	Linear Granger causality Nonlinear Granger causality U-statistics Simulation Stock markets

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009143323