Multivariate causality tests with simulation and application
نویسندگان
چکیده
منابع مشابه
Multivariate linear and nonlinear causality tests
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 non-linear ...
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2011
ISSN: 0167-7152
DOI: 10.1016/j.spl.2011.02.031