A Copula Nonlinear Granger Causality

Jong-Min Kim, Namgil Lee and Sun Young Hwang

Economic Modelling, 2020, vol. 88, issue C, 420-430

Abstract: We propose a new copula nonlinear Granger causality test that is more robust than the current available linear and nonlinear Granger causality tests when there exists an asymmetric and nonlinear directional dependence. To perform the statistical test of the copula nonlinear causality, the Gaussian Copula Marginal Regression (GCMR) model and copula directional dependence (Kim and Hwang, 2017) are employed in this paper. By using GCMR and two-sample permutation test with rank sum statistic for the copula nonlinear Granger causality, we can confirm that the result of the proposed copula nonlinear Granger causality test is a reliable test through the simulated data and real data both for small and large sample sizes.

Keywords: Copula; Granger causality; Directional dependence; Permutation test (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:88:y:2020:i:c:p:420-430

DOI: 10.1016/j.econmod.2019.09.052

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