Multivariate linear and nonlinear causality tests
From MaRDI portal
Publication:609070
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)
Related Items
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The decomposition and measurement of the interdependency between second- order stationary processes
- A new statistic and practical guidelines for nonparametric Granger causality testing
- Measuring the strangeness of strange attractors
- Rigorous statistical procedures for data from dynamical systems
- Granger-causality in multiple time series
- Causality in temporal systems. Characterizations and a Survey
- Three-factor profile analysis with GARCH innovations
- New evidence on the relation between return volatility and trading volume
- Approximation Theorems of Mathematical Statistics
- A Note on the Hiemstra-Jones Test for Granger Non-causality
- ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
- On U-statistics and v. mise? statistics for weakly dependent processes
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Testing for Unit Roots and Non-linear Transformations
- A test for independence based on the correlation dimension
- Short Run and Long Run Causality in Time Series: Theory
- Nonparametric Test for Causality with Long-range Dependence
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
