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Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1988Testing Linearity Against Smooth Transition Autoregressive Models1,365 cited
  • 1978Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables786 cited
  • 1980Advertising and Aggregate Consumption: An Analysis of Causality548 cited
  • 1999Another look at Swedish business cycles, 1861-198896 cited
  • 2008Extracting a common stochastic trend: Theory with some applications64 cited
  • 1996A non-parametric approach to non-linear causality testing60 cited
  • 2006Testing Granger Causality in the presence of threshold effects39 cited

Cited by

  • 2020Does Twitter Happiness Sentiment predict cryptocurrency?57 cited
  • 2015A nonlinear Granger causality test between stock returns and investor sentiment for Chinese stock market: a wavelet-based approach52 cited
  • 2015Financial sector and output dynamics in the euro area: Non-linearities reconsidered40 cited
  • 2020Can happiness predict future volatility in stock markets?

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37 cited
  • 2021Asymmetric effects of monetary policy and output shocks on the real estate market in China25 cited