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A Note on the Hiemstra-Jones Test for Granger Non-causality

Citations

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Cited by:

  1. Sebastian Nick, 2016. "The Informational Efficiency of European Natural Gas Hubs: Price Formation and Intertemporal Arbitrage," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  2. repec:eee:eneeco:v:71:y:2018:i:c:p:62-69 is not listed on IDEAS
  3. Gurgul, Henryk & Lach, Łukasz, 2012. "The electricity consumption versus economic growth of the Polish economy," Energy Economics, Elsevier, vol. 34(2), pages 500-510.
  4. Gurgul, Henryk & Lach, Łukasz, 2012. "The association between stock market and exchange rates for advanced and emerging markets – A case study of the Swiss and Polish economies," MPRA Paper 52238, University Library of Munich, Germany.
  5. Dergiades, Theologos, 2012. "Do investors’ sentiment dynamics affect stock returns? Evidence from the US economy," Economics Letters, Elsevier, vol. 116(3), pages 404-407.
  6. Henfryk Gurgul & lukasz Lach, 2009. "Linear versus nonlinear causalityfor dax companies," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 3, pages 27-46.
  7. Tayfur Bayat & Saban Nazlioglu & Selim Kayhan, 2015. "Exchange Rate and Oil Price Interactions in Transition Economies: Czech Republic, Hungary and Poland," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(3), pages 267-285, June.
  8. Lukasz Lach & Henryk Gurgul, 2010. "International trade and economic growth in the Polish economy," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 3, pages 5-29.
  9. repec:eee:eneeco:v:65:y:2017:i:c:p:183-193 is not listed on IDEAS
  10. Bekiros, Stelios D. & Diks, Cees G.H., 2008. "The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1641-1650, December.
  11. Chuang, Chia-Chang & Kuan, Chung-Ming & Lin, Hsin-Yi, 2009. "Causality in quantiles and dynamic stock return-volume relations," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1351-1360, July.
  12. Li, Haiqi & Zhong, Wanling & Park, Sung Y., 2016. "Generalized cross-spectral test for nonlinear Granger causality with applications to money–output and price–volume relations," Economic Modelling, Elsevier, vol. 52(PB), pages 661-671.
  13. repec:kap:rqfnac:v:51:y:2018:i:1:d:10.1007_s11156-017-0668-3 is not listed on IDEAS
  14. Matilla-García, Mariano & Marín, Manuel Ruiz & Dore, Mohammed I., 2014. "A permutation entropy based test for causality: The volume–stock price relation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 280-288.
  15. Werner Kristjanpoller R. & Alejandro Sierra C., 2014. "Relationship between the dollar, the price of copper and the IPSA indifferent time scales: An approach through Wavelet," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 17(3), pages 56-85, December.
  16. Mahadevan, Renuka & Suardi, Sandy, 2008. "A dynamic analysis of the impact of uncertainty on import- and/or export-led growth: The experience of Japan and the Asian Tigers," Japan and the World Economy, Elsevier, vol. 20(2), pages 155-174, March.
  17. Bonaccolto, G. & Caporin, M. & Gupta, R., 2018. "The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 446-469.
  18. repec:ebl:ecbull:v:7:y:2008:i:15:p:1-16 is not listed on IDEAS
  19. Lim, Shiok Ye & Ho, Chong Mun, 2013. "Nonlinearity in ASEAN-5 export-led growth model: Empirical evidence from nonparametric approach," Economic Modelling, Elsevier, vol. 32(C), pages 136-145.
  20. repec:kap:openec:v:29:y:2018:i:2:d:10.1007_s11079-017-9448-x is not listed on IDEAS
  21. González, Mariano, 2016. "Asymmetric causality in-mean and in-variance among equity markets indexes," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 49-68.
  22. Kyrtsou, Catherine & Labys, Walter C., 2006. "Evidence for chaotic dependence between US inflation and commodity prices," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 256-266, March.
  23. Dergiades, Theologos & Martinopoulos, Georgios & Tsoulfidis, Lefteris, 2013. "Energy consumption and economic growth: Parametric and non-parametric causality testing for the case of Greece," Energy Economics, Elsevier, vol. 36(C), pages 686-697.
  24. Francis, Bill B. & Mougoué, Mbodja & Panchenko, Valentyn, 2010. "Is there a symmetric nonlinear causal relationship between large and small firms?," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 23-38, January.
  25. 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.
  26. Balcilar, Mehmet & Bonato, Matteo & Demirer, Riza & Gupta, Rangan, 2018. "Geopolitical risks and stock market dynamics of the BRICS," Economic Systems, Elsevier, vol. 42(2), pages 295-306.
  27. Lean, Hooi Hooi & Smyth, Russell, 2010. "Multivariate Granger causality between electricity generation, exports, prices and GDP in Malaysia," Energy, Elsevier, vol. 35(9), pages 3640-3648.
  28. Sinha, Avik & Shahbaz, Muhammad & Sengupta, Tuhin, 2018. "Renewable Energy Policies and Contradictions in Causality: A case of Next 11 Countries," MPRA Paper 87542, University Library of Munich, Germany, revised 17 Jun 2018.
  29. Cook, Steven, 2008. "Further analysis of spurious causality," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 647-651.
  30. Nick, Sebastian, 2013. "Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets," EWI Working Papers 2013-14, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
  31. Jain, Anshul & Biswal, P.C., 2016. "Dynamic linkages among oil price, gold price, exchange rate, and stock market in India," Resources Policy, Elsevier, vol. 49(C), pages 179-185.
  32. Shahbaz, Muhammad & Shafiullah, Muhammad & Papavassiliou, Vassilios & Hammoudeh, Shawkat, 2017. "The CO2-Growth nexus revisited: A nonparametric analysis for G7 economies over nearly two centuries," MPRA Paper 79019, University Library of Munich, Germany, revised 07 May 2017.
  33. Bekiros, Stelios D., 2014. "Exchange rates and fundamentals: Co-movement, long-run relationships and short-run dynamics," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 117-134.
  34. De Gooijer, Jan G. & Sivarajasingham, Selliah, 2008. "Parametric and nonparametric Granger causality testing: Linkages between international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2547-2560.
  35. Chen, Shyh-Wei & Shen, Chung-Hua, 2007. "A sneeze in the U.S., a cough in Japan, but pneumonia in Taiwan? An application of the Markov-Switching vector autoregressive model," Economic Modelling, Elsevier, vol. 24(1), pages 1-14, January.
  36. Chiou-Wei, Song Zan & Chen, Ching-Fu & Zhu, Zhen, 2008. "Economic growth and energy consumption revisited -- Evidence from linear and nonlinear Granger causality," Energy Economics, Elsevier, vol. 30(6), pages 3063-3076, November.
  37. Xu, Xiaojie, 2014. "Price Discovery in U.S. Corn Cash and Futures Markets: The Role of Cash Market Selection," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169809, Agricultural and Applied Economics Association.
  38. De Vita, Glauco & Trachanas, Emmanouil, 2016. "‘Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India’ — A failed replication (negative Type 1 and Type 2)," Energy Economics, Elsevier, vol. 56(C), pages 150-160.
  39. Gurgul, Henryk & Lach, lukasz, 2011. "The role of coal consumption in the economic growth of the Polish economy in transition," Energy Policy, Elsevier, vol. 39(4), pages 2088-2099, April.
  40. repec:eee:ecmode:v:64:y:2017:i:c:p:74-81 is not listed on IDEAS
  41. Andreasson, Pierre & Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah, 2016. "Impact of speculation and economic uncertainty on commodity markets," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 115-127.
  42. Prasad Bal, Debi & Narayan Rath, Badri, 2015. "Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India," Energy Economics, Elsevier, vol. 51(C), pages 149-156.
  43. repec:eee:jrpoli:v:52:y:2017:i:c:p:201-206 is not listed on IDEAS
  44. Henryk Gurgul & Łukasz Lach & Roland Mestel, 2012. "The relationship between budgetary expenditure and economic growth in Poland," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(1), pages 161-182, March.
  45. 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.
  46. Tiwari, Aviral Kumar & Dar, Arif Billah & Bhanja, Niyati, 2013. "Oil price and exchange rates: A wavelet based analysis for India," Economic Modelling, Elsevier, vol. 31(C), pages 414-422.
  47. Bampinas Georgios & Panagiotidis Theodore, 2015. "On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 657-668, December.
  48. Bos, Martijn & Demirer, Riza & Gupta, Rangan & Tiwari, Aviral Kumar, 2018. "Oil returns and volatility: The role of mergers and acquisitions," Energy Economics, Elsevier, vol. 71(C), pages 62-69.
  49. Zhang, Lingxiang & Zhang, Xiaotong, 2011. "Spurious Granger causality between a broken-trend stationary process and a stochastic trend process," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(8), pages 1673-1681.
  50. repec:eee:phsmap:v:490:y:2018:i:c:p:1211-1227 is not listed on IDEAS
  51. Daniel Felix Ahelegbey, 2015. "The Econometrics of Networks: A Review," Working Papers 2015:13, Department of Economics, University of Venice "Ca' Foscari".
  52. Civitarese, Jamil, 2016. "Volatility and correlation-based systemic risk measures in the US market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 459(C), pages 55-67.
  53. Josué M. Polanco-Martínez & Luis M. Abadie, 2016. "Analyzing Crude Oil Spot Price Dynamics versus Long Term Future Prices: A Wavelet Analysis Approach," Energies, MDPI, Open Access Journal, vol. 9(12), pages 1-19, December.
  54. Nazlioglu, Saban, 2011. "World oil and agricultural commodity prices: Evidence from nonlinear causality," Energy Policy, Elsevier, vol. 39(5), pages 2935-2943, May.
  55. Shyh-Wei Chen, 2008. "Untangling the nexus of stock price and trading volume: evidence from the Chinese stock market," Economics Bulletin, AccessEcon, vol. 7(15), pages 1-16.
  56. Gurgul, Henryk & Lach, Łukasz, 2010. "The causal link between Polish stock market and key macroeconomic aggregates," MPRA Paper 52250, University Library of Munich, Germany.
  57. Gurgul, Henryk & Lach, Łukasz, 2011. "Causality analysis between public expenditure and economic growth of Polish economy in last decade," MPRA Paper 52281, University Library of Munich, Germany.
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