Document Type

Journal Article

Department/Unit

Department of Economics

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.

Publication Year

2011

Journal Title

Statistics & Probability Letters

Volume number

81

Issue number

8

Publisher

Elsevier

First Page (page number)

1063

Last Page (page number)

1071

Referreed

1

DOI

10.1016/j.spl.2011.02.031

ISSN (print)

0167-7152

Link to Publisher’s Edition

http://dx.doi.org/10.1016/j.spl.2011.02.031

Keywords

Linear Granger causality, Nonlinear Granger causality, U-statistics, Simulation, Stock markets

Included in

Economics Commons

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