Multivariate causality tests with simulation and application

Zhidong Bai, Heng Li, Wing Keung WONG*, Bingzhi Zhang

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    32 Citations (Scopus)
    1 Downloads (Pure)


    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.

    Original languageEnglish
    Pages (from-to)1063-1071
    Number of pages9
    JournalStatistics and Probability Letters
    Issue number8
    Publication statusPublished - Aug 2011

    Scopus Subject Areas

    • Statistics and Probability
    • Statistics, Probability and Uncertainty

    User-Defined Keywords

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


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