@article{687198837c614f0a988cb9091cafdd28,
title = "Multivariate causality tests with simulation and application",
abstract = "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.",
keywords = "Linear Granger causality, Nonlinear Granger causality, U-statistics, Simulation, Stock markets",
author = "Zhidong Bai and Heng Li and Wing-Keung Wong and Bingzhi Zhang",
note = "Funding Information: We would like to express our appreciation to the Editor, Professor Hira Koul, and the referees for their helpful comments which enabled us to improve our paper significantly. The third author would like to thank Professors Robert B. Miller and Howard E. Thompson for their continuous guidance and encouragement. This research is partially supported by NSF China ( 10871036 ), Research Grants Council of Hong Kong ( 202809 ), and NUS grant ( R-155-000-096-720 ). This research was partially supported by Northeast Normal University , the National University of Singapore , Hong Kong Baptist University , and Columbia University . ",
year = "2011",
month = aug,
doi = "10.1016/j.spl.2011.02.031",
language = "English",
volume = "81",
pages = "1063--1071",
journal = "Statistics and Probability Letters",
issn = "0167-7152",
publisher = "Elsevier B.V.",
number = "8",
}