Applying the Concept of Granger Causality to Detect Nonlinear Autodependencies in Time Series

• Autorzy: Witold Orzeszko
• Języki publikacji: EN

Abstrakty

EN

Granger causality is one of the most important concepts in the analysis of dependencies between economic processes. In econometrics, this widely known idea is usually applied to linear relationships, represented by VAR models. Nonlinear Granger causality may be identified using the Hiemstra and Jones test (1994). The aim of this paper is to show how the Hiemstra and Jones test may be used for a different purpose, i.e. to detect nonlinear autodependencies in a single time series. This concept has been applied to some generated examples and financial data. (fragment of text)

Słowa kluczowe

EN

Economic process; Causality; Nonlinear models; Econometric models; Granger casuality

PL

Procesy gospodarcze; Przyczynowość; Modele nieliniowe; Modele ekonometryczne; Przyczynowość w sensie Grangera

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2008
• Tom: 8
• Strony: 139--146

Twórcy

autor

Witold Orzeszko

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

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