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Multivariate causality tests with simulation and application

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  • Bai, Zhidong
  • Li, Heng
  • Wong, Wing-Keung
  • Zhang, Bingzhi

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.

Suggested Citation

  • Bai, Zhidong & Li, Heng & Wong, Wing-Keung & Zhang, Bingzhi, 2011. "Multivariate causality tests with simulation and application," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1063-1071, August.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:8:p:1063-1071
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