Document Type

Journal Article

Department/Unit

Department of Economics

Language

English

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

Publication Date

2011

Source Publication Title

Statistics & Probability Letters

Volume

81

Issue

8

Start Page

1063

End Page

1071

Publisher

Elsevier

Peer Reviewed

1

DOI

10.1016/j.spl.2011.02.031

Link to Publisher's Edition

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

ISSN (print)

01677152

Included in

Economics Commons

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