Department of Economics
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  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.
Linear Granger causality, Nonlinear Granger causality, U-statistics
Source Publication Title
Mathematics and Computers in Simulation
Link to Publisher's Edition
Bai, Z., Wong, W., & Zhang, B. (2010). Multivariate linear and nonlinear causality tests. Mathematics and Computers in Simulation, 81 (1). https://doi.org/10.1016/j.matcom.2010.06.008