Multivariate causality tests with simulation and application

被引：20

作者：

Bai, Zhidong ^{[3
,4
]}

Li, Heng ^{[5
]}

Wong, Wing-Keung ^{[1
,2
]}

Zhang, Bingzhi ^{[6
]}

机构：

[1] Hong Kong Baptist Univ, Dept Econ, Kowloon Tong, Hong Kong, Peoples R China

[2] Hong Kong Baptist Univ, Inst Computat Math, Kowloon Tong, Hong Kong, Peoples R China

[3] NE Normal Univ, Sch Math & Stat, KLASMOE, Changchun, Peoples R China

[4] Natl Univ Singapore, Dept Stat & Appl Probabil, Singapore 117548, Singapore

[5] Hong Kong Baptist Univ, Dept Math, Kowloon Tong, Hong Kong, Peoples R China

[6] Columbia Univ, Dept Biostat, New York, NY 10027 USA

来源：

STATISTICS & PROBABILITY LETTERS | 2011年 / 81卷 / 08期

关键词：

Linear Granger causality; Nonlinear Granger causality; U-statistics; Simulation; Stock markets;

D O I：

10.1016/j.spl.2011.02.031

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper extends the test established by Hiemstra and Jones (1994) to develop a nonlinear causality test in a multivariate setting. A Monte Carlo simulation is conducted to demonstrate the superiority of our proposed multivariate test over its bivariate counterpart. In addition, we illustrate the applicability of our proposed test for analyzing the relationships among different Chinese stock market indices. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：1063 / 1071

页数：9

共 11 条

[1]

[Anonymous], 1992, Iowa State University and University of Wisconsin at Madison Working Paper

[2] New Evidence on the Relation between Return Volatility and Trading Volume [J].

Chiang, Thomas C. ;

Qia, Zhuo ;

Wong, Wing-Keung .

JOURNAL OF FORECASTING, 2010, 29 (05) :502-515

[3] ON U-STATISTICS AND V MISES STATISTICS FOR WEAKLY DEPENDENT PROCESSES [J].

DENKER, M ;

KELLER, G .

ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1983, 64 (04) :505-522

[4] INVESTIGATING CAUSAL RELATIONS BY ECONOMETRIC MODELS AND CROSS-SPECTRAL METHODS [J].

GRANGER, CWJ .

ECONOMETRICA, 1969, 37 (03) :424-438

[5] TESTING FOR LINEAR AND NONLINEAR GRANGER CAUSALITY IN THE STOCK PRICE-VOLUME RELATION [J].

HIEMSTRA, C ;

JONES, JD .

JOURNAL OF FINANCE, 1994, 49 (05) :1639-1664

[6]

Kowalski J., 2007, Modern Applied U Statistics

[7] A SIMPLE, POSITIVE SEMIDEFINITE, HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX [J].

NEWEY, WK ;

WEST, KD .

ECONOMETRICA, 1987, 55 (03) :703-708

[8] Policy change and lead-lag relations among China's segmented stock markets [J].

Qiao, Zhuo ;

Li, Yuming ;

Wong, Wing-Keung .

JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT, 2008, 18 (03) :276-289

[9] Linear and nonlinear causality between changes in consumption and consumer attitudes [J].

Qiao, Zhuo ;

McAleer, Michael ;

Wong, Wing-Keung .

ECONOMICS LETTERS, 2009, 102 (03) :161-164

[10]

Serfling R. J., 1980, Approximation Theorems of Mathematical Statistics

← 1 2 →