Multivariate linear and nonlinear causality tests

The traditional linear Granger test has been widely used to examine the linear causality among several time series in bivariate settings as well as multivariate settings. Hiemstra and Jones [19] develop a nonlinear Granger causality test in bivariate settings to investigate the nonlinear causality between stock prices and trading volume. This paper extends their work by developing a nonlinear causality test in multivariate settings.

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Year of publication:	2010
Authors:	Bai, Zhidong ; Wong, Wing-Keung ; Zhang, Bingzhi
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 81.2010, 1, p. 5-17
Publisher:	Elsevier
Subject:	Linear Granger causality \| Nonlinear Granger causality \| U-statistics

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

Persistent link: https://www.econbiz.de/10010749374