A new test of multivariate nonlinear causality
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DOI: 10.1371/journal.pone.0185155
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… read more here.
Keywords: multivariate nonlinear; hiemstra jones; causality; test ... See more keywords