TY - JOUR
T1 - A new test of multivariate nonlinear causality
AU - BAI, Zhidong
AU - HUI, Yongchang
AU - JIANG, Dandan
AU - LV, Zhihui
AU - WONG, Wing Keung
AU - ZHENG, Shurong
PY - 2018/1/1
Y1 - 2018/1/1
N2 - The multivariate nonlinear Granger causality developed by Bai et al. (2010) (Mathematics and Computers in simulation. 2010; 81: 5-17) plays an important role in detecting the dynamic interrelationships between two groups of variables. Following the idea of Hiemstra-Jones (HJ) test proposed by Hiemstra and Jones (1994) (Journal of Finance. 1994; 49(5): 1639-1664), they attempt to establish a central limit theorem (CLT) of their test statistic by applying the asymptotical property of multivariate U-statistic. However, Bai et al. (2016) (2016; arXiv: 1701.03992) revisit the HJ test and find that the test statistic given by HJ is NOT a function of U-statistics which implies that the CLT neither proposed by Hiemstra and Jones (1994) nor the one extended by Bai et al. (2010) is valid for statistical inference. In this paper, we re-estimate the probabilities and reestablish the CLT of the new test statistic. Numerical simulation shows that our new estimates are consistent and our new test performs decent size and power.
AB - The multivariate nonlinear Granger causality developed by Bai et al. (2010) (Mathematics and Computers in simulation. 2010; 81: 5-17) plays an important role in detecting the dynamic interrelationships between two groups of variables. Following the idea of Hiemstra-Jones (HJ) test proposed by Hiemstra and Jones (1994) (Journal of Finance. 1994; 49(5): 1639-1664), they attempt to establish a central limit theorem (CLT) of their test statistic by applying the asymptotical property of multivariate U-statistic. However, Bai et al. (2016) (2016; arXiv: 1701.03992) revisit the HJ test and find that the test statistic given by HJ is NOT a function of U-statistics which implies that the CLT neither proposed by Hiemstra and Jones (1994) nor the one extended by Bai et al. (2010) is valid for statistical inference. In this paper, we re-estimate the probabilities and reestablish the CLT of the new test statistic. Numerical simulation shows that our new estimates are consistent and our new test performs decent size and power.
UR - http://commons.ln.edu.hk/sw_master/6676
UR - http://www.scopus.com/inward/record.url?scp=85040170669&partnerID=8YFLogxK
U2 - 10.1371/journal.pone.0185155
DO - 10.1371/journal.pone.0185155
M3 - Journal Article (refereed)
C2 - 29304085
VL - 13
SP - 1
EP - 14
JO - PLoS ONE
JF - PLoS ONE
SN - 1932-6203
IS - 1
M1 - e0185155
ER -