Panel Non-Linear Causality Test

8 Pages Posted: 21 May 2015

See all articles by Zhidong Bai

Zhidong Bai

Northeast Normal University

Wenjing Xie

Hong Kong Baptist University (HKBU) – Department of Accountancy and Law - Department of Economics

Wing-Keung Wong

Asia University, Department of Finance

Date Written: May 20, 2015

Abstract

In this paper, we develop a new nonlinear Granger causality test to take into consideration different lags of variables and different values of the bound for panel data.

Keywords: linear Granger causality test, nonlinear Granger causality test, panel data, power, size

JEL Classification: C01, C12

Suggested Citation

Bai, Zhidong and Xie, Wenjing and Wong, Wing-Keung, Panel Non-Linear Causality Test (May 20, 2015). Available at SSRN: https://ssrn.com/abstract=2608388 or http://dx.doi.org/10.2139/ssrn.2608388

Zhidong Bai

Northeast Normal University ( email )

Changchun
China

Wenjing Xie

Hong Kong Baptist University (HKBU) – Department of Accountancy and Law - Department of Economics

Hong Kong

Wing-Keung Wong (Contact Author)

Asia University, Department of Finance ( email )

Taiwan
Taiwan

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