A note on the Hiemstra-Jones test for Granger non-causality

Studies in Nonlinear Dynamics and Econometrics

Volumn 9, Issue 2, 2005, Pages

  Diks, Cees ^a   Panchenko, Valentyn ^a  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 22544452129     PISSN: 15583708     EISSN: 10811826     Source Type: Journal    
DOI: 10.2202/1558-3708.1234     Document Type: Article

References (9)

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3. Baek, E. and Brock, W. (1992). A general test for nonlinear Granger causality: Bivariate model. Technical Report. Iowa State University and University of Wisconsin, Madison.
4. Brooks, C. and Henry, O. T. (2000). Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia. Economic Modelling, 17, 497-513.
5. Diks, C. and DeGoede, J. (2001). A general nonparametric bootstrap test for Granger causality. In Global Analysis of Dynamical Systems (eds H. W. Broer, B. Krauskopf and G. Vegter), pp. 391-403. IoP Publishing, Bristol.
6. Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424-438.
7. Hiemstra, C. and Jones, J. D. (1994). Testing for linear and nonlinear Granger causality in the stock price-volume relation. Journal of Finance, 49, number 5, 1639-1664.
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9. Silvapulla, P. and Moosa, I. A. (1999). The relationship between spot and futures prices: Evidence from the crude oil market. Journal of Futures Markets, 19, 157-193.