Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.spl.2011.02.031
Title: Multivariate causality tests with simulation and application
Authors: Bai, Z. 
Li, H.
Wong, W.-K.
Zhang, B.
Keywords: Linear Granger causality
Nonlinear Granger causality
Simulation
Stock markets
U-statistics
Issue Date: Aug-2011
Citation: Bai, Z., Li, H., Wong, W.-K., Zhang, B. (2011-08). Multivariate causality tests with simulation and application. Statistics and Probability Letters 81 (8) : 1063-1071. ScholarBank@NUS Repository. https://doi.org/10.1016/j.spl.2011.02.031
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. © 2011 Elsevier B.V.
Source Title: Statistics and Probability Letters
URI: http://scholarbank.nus.edu.sg/handle/10635/105232
ISSN: 01677152
DOI: 10.1016/j.spl.2011.02.031
Appears in Collections:Staff Publications

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