Multivariate linear and nonlinear causality tests

Zhidong Bai, Wing-Keung Wong and Bingzhi Zhang

Mathematics and Computers in Simulation (MATCOM), 2010, vol. 81, issue 1, 5-17

Abstract: 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.

Keywords: Linear Granger causality; Nonlinear Granger causality; U-statistics (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (59)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:81:y:2010:i:1:p:5-17

DOI: 10.1016/j.matcom.2010.06.008

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