A Note on the Hiemstra-Jones Test for Granger Non-causality

By Cees G. H. Diks, Valentyn Panchenko. 2005

268 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ac51d14d4e7089a5f8b61817c3d66b388c29814e

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In Economics and Econometrics

Citations in the corpus

Causality in quantiles and dynamic stock return–volume relations (2009, background): “Diks and Panchenko (2005) also give examples that the test of Hiemstra and Jones (1994) may not test Granger non-causality.”
Renewable energy policies and contradictions in causality: A case of Next 11 countries (2018, methodology): “In doing so, we have chosen Granger (1969) causality test, Diks and Panchenko (2006) causality test, and Geweke (1982) causality test.”
Oil price and exchange rates: A wavelet based analysis for India (2013, methodology): “…nonlinear causal relations and recommend the use of nonlinear causality tests (e.g. Baek and Brock, 1992; Bell et al., 1996; Chen et al., 2004; Diks and Panchenko, 2005; Hiemstra and Jones, 1994; Hiemstra and Kramer, 1997; Li, 2006; Péguin-Feissolle and Teräsvirta, 1999; Péguin-Feissolle et…”
Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017, unknown): “Diks and Panchenko (2005) rectify the over-rejection problem of the Himestra-Jones test by using the average of local dependence measures.”
Nonlinear Granger Causality: Guidelines for Multivariate Analysis (2013, unknown): “One may readily observe that the general formula for optimal bandwidth is parallel to the one derived in the Diks and Panchenko (2006). DS changes the pointwise bias of the estimator density estimator, intuitively affecting both the rate of convergence, i.e. α parameter, and the leading bias term, i”
A new statistic and practical guidelines for nonparametric Granger causality testing (2006, methodology): “In comparison with the process with instantaneous dependence considered in Diks and Panchenko (2005) the current process indicates less size distortion. This is due to the weaker covariance between the concentration measures HX andHZ for the current process, which is the main cause of the bias. As s”
The relationship between crude oil spot and futures prices: cointegration, linear and nonlinear causality (2008, methodology): “However, Diks and Panchenko (2005, 2006) demonstrate that the relationship tested by Hiemstra and Jones test is not generally compatible with Granger causality, leading to the possibility of spurious rejections of the null hypothesis.”
Geopolitical risks and stock market dynamics of the BRICS (2018, background): “Unlike linear test of causality, which can be multivariate, all known nonlinear tests of causality are in fact bivariate (see for example, Heimstra and Jones (1994), Diks and Panchenko (2005, 2006), Nishiyama et al., (2011), Jeong et al.”
Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach (2017, background): “Note that, while other nonparametric tests of causality are available in the literature (for example, Hiemstra and Jones (1994), and Diks and Panchenko (2005, 2006)), our decision to use the Nishiyama et al. (2011) test emanates from the fact that, unlike the other tests which can only detect…”
Dynamic linkages among oil price, gold price, exchange rate, and stock market in India (2016, background): “Hiemstra and Jones (1994) proposed a non linear version of the Granger test for non causality, but recent research by Diks and Panchenko (2005) has raised issues with the power of the test in large samples.”
Volatility jumps: The role of geopolitical risks (2018, methodology): “Secondly, via this methodology, we are able to test not only for causality-in-mean (1st moment) as in popular nonlinear causality tests of Heimstra and Jones (1994), and Diks and Panchenko (2005, 2006), but also for causality that may exist in the tails of the joint distribution of the variables.”