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Multivariate causality tests with simulation and application

Zhidong Bai, Heng Li, Wing-Keung Wong () and Bingzhi Zhang

Statistics & Probability Letters, 2011, vol. 81, issue 8, 1063-1071

Abstract: This paper extends the test established by Hiemstra and Jones (1994) to develop a nonlinear causality test in a multivariate setting. A Monte Carlo simulation is conducted to demonstrate the superiority of our proposed multivariate test over its bivariate counterpart. In addition, we illustrate the applicability of our proposed test for analyzing the relationships among different Chinese stock market indices.

Keywords: Linear; Granger; causality; Nonlinear; Granger; causality; U-statistics; Simulation; Stock; markets (search for similar items in EconPapers)
Date: 2011
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