A new test of multivariate nonlinear causality.

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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Bibliographic Details
Main Authors:	Zhidong Bai, Yongchang Hui, Dandan Jiang, Zhihui Lv, Wing-Keung Wong, Shurong Zheng
Format:	Article
Language:	English
Published:	Public Library of Science (PLoS) 2018-01-01
Series:	PLoS ONE
Online Access:	http://europepmc.org/articles/PMC5755758?pdf=render

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