A new statistic and practical guidelines for nonparametric Granger causality testing
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Cites work
- scientific article; zbMATH DE number 1069593 (Why is no real title available?)
- A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
- A Note on the Hiemstra-Jones Test for Granger Non-causality
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A non-parametric approach to non-linear causality testing
- A test for independence based on the correlation dimension
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Energy shocks and financial markets: nonlinear linkages
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Measuring statistical dependences in a time series
- On U-statistics and v. mise? statistics for weakly dependent processes
- On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
- Optimal bandwidth choice for density-weighted averages
- The Stationary Bootstrap
Cited in
(40)- A Note on the Hiemstra-Jones Test for Granger Non-causality
- Bond market and macroeconomic stability in East Asia: a nonlinear causality analysis
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- Spillover effect and Granger causality investigation between China's stock market and international oil market: a dynamic multiscale approach
- Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
- How long the singular value decomposed entropy predicts the stock market? -- Evidence from the Dow Jones industrial average index
- Systemic risk in Europe: deciphering leading measures, common patterns and real effects
- A novel Granger causality method based on HSIC-Lasso for revealing nonlinear relationship between multivariate time series
- An empirical re-examination of the dividend–investment relation
- Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
- On empirical likelihood test for predictability
- Testing for Granger-causality in quantiles
- Statistical Tests for Detecting Granger Causality
- How do mobility restrictions and social distancing during COVID-19 affect oil price?
- Detecting direct causality in multivariate time series: a comparative study
- The relationship between budgetary expenditure and economic growth in Poland
- A consistent nonparametric test for causality in quantile
- Nonparametric tests for conditional independence using conditional distributions
- Using wavelets in the measurement of multiscale dependence between Saudi and selected foreign stock markets
- Multivariate linear and nonlinear causality tests
- Conditional association
- On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach
- Symbolic correlation integral
- Did speculative activities contribute to high crude oil prices during 1993 to 2008?
- Examining interconnectedness between media attention and cryptocurrency markets: a transfer entropy story
- A nonparametric approach to test for predictability
- A general nonparametric bootstrap test for Granger causality
- Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
- Nonparametric estimation and inference for conditional density based Granger causality measures
- Spatial Integration of Pig Meat Markets in the EU: Complex Network Analysis of Non-linear Price Relationships
- Multivariate contemporaneous-threshold autoregressive models
- On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing
- Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods
- Multivariate out-of-sample tests for Granger causality
- A strategy for the use of the cross recurrence quantification analysis
- Asymmetric dynamics between uncertainty and unemployment flows in the United States
- Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions
- Nonparametric Test for Causality with Long-range Dependence
- How efficient are natural gas markets in practice? A wavelet-based approach
- New nonparametric measures for instantaneous and granger-causality tail co-dependence
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