A consistent nonparametric test for nonlinear causality—Specification in time series regression

By Y. Nishiyama, K. Hitomi, Y. Kawasaki, Kiho Jeong. 2011

328 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/327846b1f9012968bb9b928bc0178aceadb0f035

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In Economics and Econometrics

Citations in the corpus

Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach (2017, methodology): “For our purpose, we use the k-th-order nonparametric causality test of Nishiyama et al. (2011) at monthly frequency over the period of 1985:1 to 2016:06.”
Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017, positive): “(2016), which in turn, is based on the frameworks of Nishiyama et al. (2011) and Jeong et al. (2012). This approach is robust to extreme values in the data and captures general nonlinear dynamic dependencies.”
Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note (2019, methodology): “Adopting the approach in Nishiyama et al. (2011), higher order quantile causality can be specified as: Integrating the entire framework, we define that xt Granger causes yt in quantile θ up to the kth moment using Equation (7) to construct the test statistic of Equation (3) for each k.”
Geopolitical risks and stock market dynamics of the BRICS (2018, methodology): “causality approach by Nishiyama et al., (2011). In order to illustrate the causality in higher order”
Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test (2016, methodology): “To efficiently address this issue, we include a sequential-testing method as described by Nishiyama et al. (2011) with some modifications.”
The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method (2017, methodology): “(11) because the statistics are mutually correlated (Nishiyama et al., 2011).”
Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test (2015, methodology): “The causality-in-quantiles test that we employ in this paper, combines the frameworks of k-th order causality of Nishiyama et al. (2011) and quantile causality of Jeong et al. (2012), and hence, can be considered to be a more general version of the former.”