Multivariate Linear and Non-Linear Causality Tests
25 Pages Posted: 22 May 2009 Last revised: 22 Jul 2010
Date Written: May 22, 2009
The traditional linear Granger test has been widely used to examine the linear causality among several time series in bivariate settings as well as multivariate settings. Hiemstra and Jones (1994) develop a nonlinear Granger causality test in a bivariate setting to investigate the nonlinear causality between stock prices and trading volume. In this paper, we first discuss linear causality tests in multivariate settings and thereafter develop a non-linear causality test in multivariate settings.
Keywords: linear Granger, causality, nonlinear Granger causality, U-statistics
JEL Classification: C01, C12, G10
Suggested Citation: Suggested Citation