Multivariate linear and nonlinear causality tests

DOI10.1016/j.matcom.2010.06.008zbMath1201.62072OpenAlexW2040247608MaRDI QIDQ609070

Bingzhi Zhang, Wing-Keung Wong, Zhi-Dong Bai

Publication date: 30 November 2010

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.06.008

zbMATH Keywords

U-statisticsnonlinear Granger causalitylinear Granger causality

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

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A novel Granger causality method based on HSIC-Lasso for revealing nonlinear relationship between multivariate time series ⋮ Do both demand-following and supply-leading theories hold true in developing countries? ⋮ Identification of stock market forces in the system adaptation framework ⋮ Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models ⋮ Test statistics for prospect and Markowitz stochastic dominances with applications ⋮ Causality detection in cortical seizure dynamics using cross-dynamical delay differential analysis

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