Multivariate causality tests with simulation and application
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Qiao, Zhuo & McAleer, Michael & Wong, Wing-Keung, 2009. "Linear and nonlinear causality between changes in consumption and consumer attitudes," Economics Letters, Elsevier, vol. 102(3), pages 161-164, March.
- Qiao, Zhuo & Li, Yuming & Wong, Wing-Keung, 2008. "Policy change and lead-lag relations among China's segmented stock markets," Journal of Multinational Financial Management, Elsevier, vol. 18(3), pages 276-289, July.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Hiemstra, Craig & Jones, Jonathan D, 1994. " Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation," Journal of Finance, American Finance Association, vol. 49(5), pages 1639-1664, December.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Owyong, David & Wong, Wing-Keung & Horowitz, Ira, 2015.
"Cointegration and causality among the onshore and offshore markets for China's currency,"
Journal of Asian Economics,
Elsevier, vol. 41(C), pages 20-38.
- Owyong, David & Wong, Wing-Keung & Horowitz, Ira, 2015. "Cointegration and Causality among the Onshore and Offshore Markets for China's Currency," MPRA Paper 71107, University Library of Munich, Germany.
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018.
"Management Information, Decision Sciences, and Financial Economics: A Connection,"
Tinbergen Institute Discussion Papers
18-004/III, Tinbergen Institute.
- Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018. "Management Information, Decision Sciences, and Financial Economics : a connection," Econometric Institute Research Papers 2018-004/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018.
"Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections,"
Econometric Institute Research Papers
EI 2018-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Michael McALeer & Wing-Keung Wong, 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," Tinbergen Institute Discussion Papers 18-011/III, Tinbergen Institute.
- Chia-Lin Chang & Wing-Keung Wong & Michael McAleer, 2018. "Big data, computational science, economics, finance, marketing, management, and psychology: connections," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Rangan Gupta & Marian Risse & David A. Volkman & Mark E. Wohar, 2017. "The Role of Term Spread and Pattern Changes in Predicting Stock Returns and Volatility of the United Kingdom: Evidence from a Nonparametric Causality-in-Quantiles Test Using Over 250 Years of Data," Working Papers 201755, University of Pretoria, Department of Economics.
- Sheung-Chi Chow & Juncal Cunado & Rangan Gupta & Wing-Keung Wong, 2016. "Causal Relationships between Economic Policy Uncertainty and Housing Market Returns in China and India: Evidence from Linear and Nonlinear Panel and Time Series Models," Working Papers 201674, University of Pretoria, Department of Economics.
- repec:gam:jjrfmx:v:11:y:2018:i:1:p:15-:d:137130 is not listed on IDEAS
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections," Tinbergen Institute Discussion Papers 18-024/III, Tinbergen Institute.
More about this item
KeywordsLinear Granger causality Nonlinear Granger causality U-statistics Simulation Stock markets;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:81:y:2011:i:8:p:1063-1071. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.