Testing for Granger Causality in the Presence of Chaotic Dynamics

An increasing number of recent articles applying powerful tests for non-linear causality have fuelled interest in discovering complex dynamics in macroeconomic and financial data. This paper is an attempt to add to the set of available tools by proposing a test for determining the source of causal relationships when a certain class of complex dynamics, that includes chaotic non-linearities, is present.

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Year of publication:	2010
Authors:	Hristu-Varsakelis, Dimitrios ; Kyrtsou, Catherine
Published in:	Brussels Economic Review. - Département d'Économie Appliquée (DULBEA). - Vol. 53.2010, 2, p. 323-327
Publisher:	Département d'Économie Appliquée (DULBEA)
Subject:	Complex Dynamics \| Granger Causality \| Non-linear Causality \| Bivariate Noisy Mackey-Glass Model

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Extent:	application/pdf
Type of publication:	Article
Notes:	Numéro Spécial « Special Issue on Nonlinear Financial Analysis :Editorial Introduction » Guest Editor :Catherine Kyrtsou
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873432