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A new test of multivariate nonlinear causality

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 Hiemst...

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Autores principales: Bai, Zhidong, Hui, Yongchang, Jiang, Dandan, Lv, Zhihui, Wong, Wing-Keung, Zheng, Shurong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2018
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5755758/
https://www.ncbi.nlm.nih.gov/pubmed/29304085
http://dx.doi.org/10.1371/journal.pone.0185155
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author Bai, Zhidong
Hui, Yongchang
Jiang, Dandan
Lv, Zhihui
Wong, Wing-Keung
Zheng, Shurong
author_facet Bai, Zhidong
Hui, Yongchang
Jiang, Dandan
Lv, Zhihui
Wong, Wing-Keung
Zheng, Shurong
author_sort Bai, Zhidong
collection PubMed
description 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.
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spelling pubmed-57557582018-01-26 A new test of multivariate nonlinear causality Bai, Zhidong Hui, Yongchang Jiang, Dandan Lv, Zhihui Wong, Wing-Keung Zheng, Shurong PLoS One Research Article 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. Public Library of Science 2018-01-05 /pmc/articles/PMC5755758/ /pubmed/29304085 http://dx.doi.org/10.1371/journal.pone.0185155 Text en © 2018 Bai et al http://creativecommons.org/licenses/by/4.0/ This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
spellingShingle Research Article
Bai, Zhidong
Hui, Yongchang
Jiang, Dandan
Lv, Zhihui
Wong, Wing-Keung
Zheng, Shurong
A new test of multivariate nonlinear causality
title A new test of multivariate nonlinear causality
title_full A new test of multivariate nonlinear causality
title_fullStr A new test of multivariate nonlinear causality
title_full_unstemmed A new test of multivariate nonlinear causality
title_short A new test of multivariate nonlinear causality
title_sort new test of multivariate nonlinear causality
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5755758/
https://www.ncbi.nlm.nih.gov/pubmed/29304085
http://dx.doi.org/10.1371/journal.pone.0185155
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