Document Type

Journal Article

Department/Unit

Department of Economics

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.

Publication Year

2010

Journal Title

Mathematics and Computers in Simulation

Volume number

81

Issue number

1

Publisher

Elsevier

First Page (page number)

5

Last Page (page number)

17

Referreed

1

DOI

10.1016/j.matcom.2010.06.008

ISSN (print)

0378-4754

Link to Publisher’s Edition

http://dx.doi.org/10.1016/j.matcom.2010.06.008

Keywords

Linear Granger causality, Nonlinear Granger causality, U-statistics

Included in

Economics Commons

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