The UvA-LINKER will give you a range of other options to find the full text of a publication (including a direct link to the full-text if it is located on another database on the internet).
De UvA-LINKER biedt mogelijkheden om een publicatie elders te vinden (inclusief een directe link naar de publicatie online als deze beschikbaar is in een database op het internet).

Search results

Query: faculty: "FEB" and publication year: "2006"

AuthorsC.G.H. Diks, V. Panchenko
TitleA new statistic and practical guidelines for nonparametric Granger causality testing
JournalJournal of Economic Dynamics & Control
Volume30
Year2006
Issue9-10
Pages1647-1669
ISSN01651889
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractIn this paper we introduce a new nonparametric test for Granger non-causality which avoids the over-rejection observed in the frequently used test proposed by Hiemstra and Jones [1994. Testing for linear and nonlinear Granger causality in the stock price-volume relation. Journal of Finance 49, 1639-1664]. After illustrating the problem by showing that rejection probabilities under the null hypothesis may tend to one as the sample size increases, we study the reason behind this phenomenon analytically. It turns out that the Hiemstra-Jones test for the null of Granger non-causality, which can be rephrased in terms of conditional independence of two vectors X and Z given a third vector Y, is sensitive to variations in the conditional distributions of X and Z that may be present under the null. To overcome this problem we replace the global test statistic by an average of local conditional dependence measures. By letting the bandwidth tend to zero at appropriate rates, the variations in the conditional distributions are accounted for automatically. Based on asymptotic theory we formulate practical guidelines for choosing the bandwidth depending on the sample size. We conclude with an application to historical returns and trading volumes of the Standard and Poor's index which indicates that the evidence for volume Granger-causing returns is weaker than suggested by the Hiemstra-Jones test.
Document typeArticle
Document finderUvA-Linker