Multivariate causality tests with simulation and application

DOI10.1016/J.SPL.2011.02.031MaRDI QIDQ553011zbMATH OpenOpenAlexFDO

Authors Heng Li, Wing-Keung Wong, Bingzhi Zhang, Zhidong Bai

Publication date 26 July 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.02.031

zbMATH Keywords

simulation\(U\)-statisticsstock marketsnonlinear Granger causalitylinear Granger causality

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Approximation Theorems of Mathematical Statistics
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• New evidence on the relation between return volatility and trading volume
• On U-statistics and v. mise? statistics for weakly dependent processes

Cited in

(11)

• Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study
• Causality tests and conditional heteroskedasticity: Monte Carlo evidence
• Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
• A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures
• The relative performance of bivariate causality tests in small samples
• Multivariate linear and nonlinear causality tests
• 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
• Evidence for nonlinear asymmetric causality in US inflation, metal, and stock returns
• Multivariate-based causality tests of twin deficits in the US

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