Document Type

Journal Article

Department/Unit

Department of Economics

Language

English

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

Publication Date

2010

Source Publication Title

Mathematics and Computers in Simulation

Volume

81

Issue

1

Start Page

5

End Page

17

Publisher

Elsevier

Peer Reviewed

1

DOI

10.1016/j.matcom.2010.06.008

Link to Publisher's Edition

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

ISSN (print)

03784754

Included in

Economics Commons

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