A new test of multivariate nonlinear causality

Zhidong BAI, Yongchang HUI, Dandan JIANG, Zhihui LV, Wing Keung WONG, Shurong ZHENG

Research output: Journal PublicationsJournal Article (refereed)Researchpeer-review

4 Citations (Scopus)

Abstract

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.
Original languageEnglish
Article numbere0185155
Pages (from-to)1-14
Number of pages14
JournalPLoS ONE
Volume13
Issue number1
DOIs
Publication statusPublished - 1 Jan 2018
Externally publishedYes

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Causality
Statistics
statistics
testing
Mathematics
Finance
finance
Computer Simulation
computer simulation
Computer simulation

Cite this

BAI, Z., HUI, Y., JIANG, D., LV, Z., WONG, W. K., & ZHENG, S. (2018). A new test of multivariate nonlinear causality. PLoS ONE, 13(1), 1-14. [e0185155]. https://doi.org/10.1371/journal.pone.0185155
BAI, Zhidong ; HUI, Yongchang ; JIANG, Dandan ; LV, Zhihui ; WONG, Wing Keung ; ZHENG, Shurong. / A new test of multivariate nonlinear causality. In: PLoS ONE. 2018 ; Vol. 13, No. 1. pp. 1-14.
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BAI, Z, HUI, Y, JIANG, D, LV, Z, WONG, WK & ZHENG, S 2018, 'A new test of multivariate nonlinear causality', PLoS ONE, vol. 13, no. 1, e0185155, pp. 1-14. https://doi.org/10.1371/journal.pone.0185155

A new test of multivariate nonlinear causality. / BAI, Zhidong; HUI, Yongchang; JIANG, Dandan; LV, Zhihui; WONG, Wing Keung; ZHENG, Shurong.

In: PLoS ONE, Vol. 13, No. 1, e0185155, 01.01.2018, p. 1-14.

Research output: Journal PublicationsJournal Article (refereed)Researchpeer-review

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BAI Z, HUI Y, JIANG D, LV Z, WONG WK, ZHENG S. A new test of multivariate nonlinear causality. PLoS ONE. 2018 Jan 1;13(1):1-14. e0185155. https://doi.org/10.1371/journal.pone.0185155