Nonlinear Granger Causality: Guidelines for Multivariate Analysis
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- Cees Diks & Marcin Wolski, 2016. "Nonlinear Granger Causality: Guidelines for Multivariate Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1333-1351, November.
References listed on IDEAS
- 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.
- Christopher L. Gilbert, 2010. "How to Understand High Food Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 61(2), pages 398-425.
- Sari, Ramazan & Hammoudeh, Shawkat & Chang, Chia-Lin & McAleer, Michael, 2012.
"Causality between market liquidity and depth for energy and grains,"
Elsevier, vol. 34(5), pages 1683-1692.
- Ramazan Sari & Shawkat Hammoudeh & Chia-Lin Chang & Michael McAleer, 2011. "Causality Between Market Liquidity and Depth for Energy and Grains," Working Papers in Economics 11/15, University of Canterbury, Department of Economics and Finance.
- Ramazan Sari & Shawkat Hammoudeh & Chia-Lin Chang & Michael McAleer, 2011. "Causality Between Market Liquidity and Depth for Energy and Grains," Documentos de Trabajo del ICAE 2011-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Sari, R. & Hammoudeh, S.M. & Chang, C-L. & McAleer, M.J., 2011. "Causality Between Market Liquidity and Depth for Energy and Grains," Econometric Institute Research Papers EI 2011-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Ramazan Sari & Shawkat Hammoudeh & Chia-Lin Chang & Michael McAleer, 2011. "Causality Between Market Liquidity and Depth for Energy and Grains," KIER Working Papers 769, Kyoto University, Institute of Economic Research.
- Diks, Cees & Panchenko, Valentyn, 2006.
"A new statistic and practical guidelines for nonparametric Granger causality testing,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 30(9-10), pages 1647-1669.
- Diks, C.G.H. & Panchenko, V., 2004. "A new statistic and practical guidelines for nonparametric Granger causality testing," CeNDEF Working Papers 04-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Popp, Michael P. & Dillon, Carl R. & Keisling, Terry C., 2003. "Economic and weather influences on soybean planting strategies on heavy soils," Agricultural Systems, Elsevier, vol. 76(3), pages 969-984, June.
- 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.
- Bai, Zhidong & Wong, Wing-Keung & Zhang, Bingzhi, 2010. "Multivariate linear and nonlinear causality tests," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(1), pages 5-17.
- Peter Hall & Michael C. Minnotte, 2002. "High order data sharpening for density estimation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(1), pages 141-157.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Guochang Wang & Wai Keung Li & Ke Zhu, 2018. "New HSIC-based tests for independence between two stationary multivariate time series," Papers 1804.09866, arXiv.org.
- Wolski, M., 2013. "Exploring Nonlinearities in Financial Systemic Risk," CeNDEF Working Papers 13-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Wolski, Marcin, 2018. "Sovereign risk and corporate cost of borrowing: Evidence from a counterfactual study," EIB Working Papers 2018/05, European Investment Bank (EIB).
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