A Note on Causality Tests

Zhidong Bai, Wing Keung Wong, Bingzhi Zhang

Research output: Contribution to journalArticlepeer-review


The traditional linear Granger test has been widely used to examine the linear causality among several time series in bivariate settings as well as multivariate settings. Hiemstra and Jones (1994) develop a nonlinear Granger causality test in a bivariate setting to investigate the nonlinear causality between stock prices and trading volume. In this paper, we first discuss linear causality tests in multivariate settings and thereafter develop a non-linear causality test in multivariate settings.
Original languageEnglish
Pages (from-to)203-220
Number of pages18
JournalInternational Journal of Intelligent Technologies and Applied Statistics
Issue number2
Publication statusPublished - Jun 2010


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