Identification of causal relationships in non-stationary time series with an information measure: Evidence for simulated and financial data
Author
Abstract
Suggested Citation
DOI: 10.1007/s00181-022-02275-9
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Aparicio F. M. & Escribano A., 1998.
"Information-Theoretic Analysis of Serial Dependence and Cointegration,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(3), pages 1-24, October.
- Aparicio, Felipe M., 1997. "Information-theoretic analysis of seral dependence and cointegration," DES - Working Papers. Statistics and Econometrics. WS 6208, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Breitung, Jorg, 2001.
"Rank Tests for Nonlinear Cointegration,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 331-340, July.
- Breitung, Jörg, 1998. "Rank tests for nonlinear cointegration," SFB 373 Discussion Papers 1998,65, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Kwon, Okyu & Yang, Jae-Suk, 2008. "Information flow between composite stock index and individual stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2851-2856.
- David Stern & Robert Kaufmann, 2014. "Anthropogenic and natural causes of climate change," Climatic Change, Springer, vol. 122(1), pages 257-269, January.
- Zhibiao Zhao, 2008. "Parametric and nonparametric models and methods in financial econometrics," Papers 0801.1599, arXiv.org, revised Mar 2008.
- Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette, 2011.
"The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields,"
PLOS ONE, Public Library of Science, vol. 6(8), pages 1-9, August.
- Kun GUO & Wei-Xing ZHOU & Si-Wei CHENG & Didier SORNETTE, 2011. "The US stock market leads the Federal funds rate and Treasury bond yields," Swiss Finance Institute Research Paper Series 11-05, Swiss Finance Institute.
- Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette, 2011. "The US stock market leads the Federal funds rate and Treasury bond yields," Papers 1102.2138, arXiv.org.
- Angeliki Papana & Catherine Kyrtsou & Dimitris Kugiumtzis & Cees Diks, 2016. "Detecting Causality in Non-stationary Time Series Using Partial Symbolic Transfer Entropy: Evidence in Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 47(3), pages 341-365, March.
- Luetkepohl Helmut & Xu Fang, 2011. "Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-23, February.
- Dufour, Jean-Marie & Taamouti, Abderrahim, 2010.
"Short and long run causality measures: Theory and inference,"
Journal of Econometrics, Elsevier, vol. 154(1), pages 42-58, January.
- Dufour, Jean-Marie, 2008. "Short and long run causality measures: theory and inference," UC3M Working papers. Economics we083720, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Diks, Cees & Panchenko, Valentyn, 2006.
"A new statistic and practical guidelines for nonparametric Granger causality testing,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1647-1669.
- Diks, C.G.H. & Panchenko, V., 2004. "A new statistic and practical guidelines for nonparametric Granger causality testing," CeNDEF Working Papers 04-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Anderson, Heather M, 1997. "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 465-484, November.
- Maki, Daiki, 2003. "Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate," Economics Letters, Elsevier, vol. 81(3), pages 349-354, December.
- Geweke, John & Meese, Richard & Dent, Warren, 1983. "Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence," Journal of Econometrics, Elsevier, vol. 21(2), pages 161-194, February.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Hiemstra, Craig & Jones, Jonathan D, 1994. "Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation," Journal of Finance, American Finance Association, vol. 49(5), pages 1639-1664, December.
- Matilla-García, Mariano & Marín, Manuel Ruiz & Dore, Mohammed I., 2014. "A permutation entropy based test for causality: The volume–stock price relation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 280-288.
- LeSage, James P, 1990. "A Comparison of the Forecasting Ability of ECM and VAR Models," The Review of Economics and Statistics, MIT Press, vol. 72(4), pages 664-671, November.
- Okyu Kwon & Jae-Suk Yang, 2008. "Information flow between stock indices," Papers 0802.1747, arXiv.org.
- Bai, Zhidong & Wong, Wing-Keung & Zhang, Bingzhi, 2010. "Multivariate linear and nonlinear causality tests," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(1), pages 5-17.
- Aviral Tiwari & Mihai Mutascu, 2014. "A revisit on the tax burden distribution and GDP growth: fresh evidence using a consistent nonparametric test for causality for the USA," Empirical Economics, Springer, vol. 46(3), pages 961-972, May.
- Christopher S. Jones, 2006. "A Nonlinear Factor Analysis of S&P 500 Index Option Returns," Journal of Finance, American Finance Association, vol. 61(5), pages 2325-2363, October.
- Choi, In & Saikkonen, Pentti, 2010. "Tests For Nonlinear Cointegration," Econometric Theory, Cambridge University Press, vol. 26(3), pages 682-709, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Papana, A. & Kyrtsou, K. & Kugiumtzis, D. & Diks, C.G.H., 2014. "Identifying causal relationships in case of non-stationary time series," CeNDEF Working Papers 14-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Ren, Weijie & Li, Baisong & Han, Min, 2020. "A novel Granger causality method based on HSIC-Lasso for revealing nonlinear relationship between multivariate time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
- Jiang, Tao & Bao, Si & Li, Long, 2019. "The linear and nonlinear lead–lag relationship among three SSE 50 Index markets: The index futures, 50ETF spot and options markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 878-893.
- Shahbaz, Muhammad & Shafiullah, Muhammad & Papavassiliou, Vassilios G. & Hammoudeh, Shawkat, 2017.
"The CO2–growth nexus revisited: A nonparametric analysis for the G7 economies over nearly two centuries,"
Energy Economics, Elsevier, vol. 65(C), pages 183-193.
- Shahbaz, Muhammad & Shafiullah, Muhammad & Papavassiliou, Vassilios & Hammoudeh, Shawkat, 2017. "The CO2-Growth nexus revisited: A nonparametric analysis for G7 economies over nearly two centuries," MPRA Paper 79019, University Library of Munich, Germany, revised 07 May 2017.
- Azizi, Firouzeh & Moradi, Fahimeh, . "Linear and Nonlinear Causality between Stock Market Volatility and the Business Cycle in Iran," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 26(01).
- Shernaz Bodhanwala & Harsh Purohit & Nidhi Choudhary, 2020. "The Causal Dynamics in Indian Agriculture Commodity Prices and Macro-Economic Variables in the Presence of a Structural Break," Global Business Review, International Management Institute, vol. 21(1), pages 241-261, February.
- Bos, Martijn & Demirer, Riza & Gupta, Rangan & Tiwari, Aviral Kumar, 2018.
"Oil returns and volatility: The role of mergers and acquisitions,"
Energy Economics, Elsevier, vol. 71(C), pages 62-69.
- Martijn Bos & Riza Demirer & Rangan Gupta & Aviral Kumar Tiwari, 2017. "Oil Returns and Volatility: The Role of Mergers and Acquisitions," Working Papers 201775, University of Pretoria, Department of Economics.
- Chow, Sheung Chi & Vieito, João Paulo & Wong, Wing Keung, 2019.
"Do both demand-following and supply-leading theories hold true in developing countries?,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 536-554.
- Chow, Sheung Chi & Vieito, João Paulo & Wong, Wing-Keung, 2018. "Do both demand-following and supply-leading theories hold true in developing countries?," MPRA Paper 87641, University Library of Munich, Germany.
- Gupta, Rangan & Risse, Marian & Volkman, David A. & Wohar, Mark E., 2019.
"The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data,"
The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 391-405.
- Rangan Gupta & Marian Risse & David A. Volkman & Mark E. Wohar, 2017. "The Role of Term Spread and Pattern Changes in Predicting Stock Returns and Volatility of the United Kingdom: Evidence from a Nonparametric Causality-in-Quantiles Test Using Over 250 Years of Data," Working Papers 201755, University of Pretoria, Department of Economics.
- Debi P Bal & Badri N Rath, 2019. "Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India - A Reassessment," Economics Bulletin, AccessEcon, vol. 39(1), pages 592-604.
- Henryk Gurgul & Łukasz Lach & Roland Mestel, 2012.
"The relationship between budgetary expenditure and economic growth in Poland,"
Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(1), pages 161-182, March.
- Gurgul, Henryk & Lach, Lukasz & Mestel, Roland, 2011. "The relationship between budgetary expenditure and economic growth in Poland," MPRA Paper 35784, University Library of Munich, Germany.
- Gurgul, Henryk & Lach, Łukasz & Mestel, Roland, 2012. "The relationship between budgetary expenditure and economic growth in Poland," MPRA Paper 52304, University Library of Munich, Germany.
- Gurgul, Henryk & Lach, Łukasz, 2011. "Causality analysis between public expenditure and economic growth of Polish economy in last decade," MPRA Paper 52281, University Library of Munich, Germany.
- Chu, Amanda M.Y. & Lv, Zhihui & Wagner, Niklas F. & Wong, Wing-Keung, 2020.
"Linear and nonlinear growth determinants: The case of Mongolia and its connection to China,"
Emerging Markets Review, Elsevier, vol. 43(C).
- Chu, Amanda M.Y. & Lv, Zhihui & Wagner, Niklas F. & Wong, Wing-Keung, 2020. "Linear and Nonlinear Growth Determinants: The Case of Mongolia and its Connection to China," MPRA Paper 99185, University Library of Munich, Germany.
- Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2015.
"Causality between exports and economic growth in South Africa: evidence from linear and nonlinear tests,"
Journal of Developing Areas, Tennessee State University, College of Business, vol. 49(2), pages 163-181, April-Jun.
- Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2013. "Causality between Exports and Economic Growth in South Africa: Evidence from Linear and Nonlinear Tests," Working Papers 201339, University of Pretoria, Department of Economics.
- Sebastian Nick, 2016.
"The Informational Efficiency of European Natural Gas Hubs: Price Formation and Intertemporal Arbitrage,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
- Sebastian Nick, 2016. "The Informational Efficiency of European Natural Gas Hubs: Price Formation and Intertemporal Arbitrage," The Energy Journal, , vol. 37(2), pages 1-30, April.
- Sensoy, Ahmet & Sobaci, Cihat & Sensoy, Sadri & Alali, Fatih, 2014. "Effective transfer entropy approach to information flow between exchange rates and stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 68(C), pages 180-185.
- Zhihui Lv & Amanda M. Y. Chu & Michael McAleer & Wing-Keung Wong, 2019. "Modelling Economic Growth, Carbon Emissions, and Fossil Fuel Consumption in China: Cointegration and Multivariate Causality," IJERPH, MDPI, vol. 16(21), pages 1-35, October.
- Bonaccolto, G. & Caporin, M. & Gupta, R., 2018.
"The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 446-469.
- Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta, 2015. "The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk," Working Papers 201564, University of Pretoria, Department of Economics.
- Sami Saafi & Meriem Bel Haj Mohamed & Abdeljelil Farhat, 2017. "Untangling the causal relationship between tax burden distribution and economic growth in 23 OECD countries: Fresh evidence from linear and non-linear Granger causality," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 14(2), pages 265-301, December.
- Sobel, Russell S. & Holcombe, Randall G., 1996. "Measuring the Growth and Variability of Tax Bases over the Business Cycle," National Tax Journal, National Tax Association, vol. 49(4), pages 535-52, December.
More about this item
Keywords
Granger causality; Non-stationarity; Co-integration; VAR; VECM; PTERV; Financial time series;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:empeco:v:64:y:2023:i:3:d:10.1007_s00181-022-02275-9. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.