A Note on Causality Tests

Zhidong Bai, Wing Keung Wong, Bingzhi Zhang

    Research output: Contribution to journalJournal articlepeer-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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