PRZYCZYNOWOŚĆ W SENSIE GRANGERA – WYBRANE METODY
GRANGER CAUSALITY – SELECTED METHODS
Author(s): Ewa M. SyczewskaSubject(s): Economy, Methodology and research technology, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: Granger causality; linear causality test; Hiemstra-Jones test; Diks.-Panchenko test; nonlinear causality; exchange rate;
Summary/Abstract: Granger causality is defined to allow for construction of statistical tests. Granger himself intended to describe, possibly nonlinear, dependencies between data generating processes and take into account informational content of interdependence between variables. There are tests for nonstationary variables, of nonlinear causality etc., we describe some of the methods. We apply to daily returns of exchange rate and stock indices the linear Granger test and the Diks-Panchenko test (for nonlinear dependencies), while taking into account influence of the recent crisis.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XV/2014
- Issue No: 4
- Page Range: 169-180
- Page Count: 12
- Language: Polish