Multivariate linear and nonlinear causality tests
نویسندگان
چکیده
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 causality test in multivariate settings.
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ورودعنوان ژورنال:
- Mathematics and Computers in Simulation
دوره 81 شماره
صفحات -
تاریخ انتشار 2010