Bai, Zhidong; Li, Heng; Wong, Wing-Keung; Zhang, Bingzhi - In: Statistics & Probability Letters 81 (2011) 8, pp. 1063-1071
This paper extends the test established by Hiemstra and Jones (1994) to develop a nonlinear causality test in a multivariate setting. A Monte Carlo simulation is conducted to demonstrate the superiority of our proposed multivariate test over its bivariate counterpart. In addition, we illustrate...