Testing for Granger Causality in the Presence of Chaotic Dynamics

Dimitrios Hristu-Varsakelis and Catherine Kyrtsou

Brussels Economic Review, 2010, vol. 53, issue 2, 323-327

Abstract: 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.

Keywords: Complex Dynamics; Granger Causality; Non-linear Causality; Bivariate Noisy Mackey-Glass Model (search for similar items in EconPapers)
JEL-codes: C12 C15 C51 (search for similar items in EconPapers)
Date: 2010
Note: Numéro Spécial « Special Issue on Nonlinear Financial Analysis :Editorial Introduction » Guest Editor :Catherine Kyrtsou
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Citations: View citations in EconPapers (8)

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