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Multivariate linear and nonlinear causality tests |
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| Authors: | Zhidong Bai Wing-Keung Wong Bingzhi Zhang |
| Affiliation: | a School of Mathematics and Statistics, Northeast Normal University, China b Department of Statistics and Applied Probability, 3 National University of Singapore, Singapore c Department of Economics and Institute for Computational Mathematics, Hong Kong Baptist University, Hong Kong, China d Department of BioStatistics, Columbia University, United States |
| 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 |
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