Bandingkan kaedah

	Ujian Kausaliti Nonlinear Toda-Yamamoto	Ujian Kausaliti Granger Tak Linear
Bidang	Ekonometrik	Ekonometrik
Keluarga	Regression model	Regression model
Tahun asal	1995 (base); nonlinear extensions 2000s–2010s	1992-2006
Pengasas	Toda & Yamamoto (1995) for the linear base; nonlinear extension developed by subsequent researchers applying rank transformations or neural-network-augmented VAR	Baek & Brock (1992); Hiemstra & Jones (1994); Diks & Panchenko (2006)
Jenis	Causality test	Nonparametric causality test
Sumber perintis	Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.	Diks, C., & Panchenko, V. (2006). A new statistic and practical guidelines for nonparametric Granger causality testing. Journal of Economic Dynamics and Control, 30(9-10), 1647-1669.
Alias	nonlinear TY causality, rank-based Toda-Yamamoto test, modified Wald nonlinear causality, NTY causality test	nonlinear causality test, BDS-based causality, Diks-Panchenko test, nonparametric Granger causality
Berkaitan	5	6
Ringkasan	The Nonlinear Toda-Yamamoto causality test extends the classic Toda-Yamamoto (1995) modified Wald procedure to detect causal linkages that are hidden in the means of series but manifest through nonlinear dynamics such as asymmetries, threshold effects, or volatility transmission. It fits an augmented VAR on rank-transformed or otherwise nonlinearly mapped series and applies a chi-squared Wald test on the extra-lag coefficients.	Nonlinear Granger causality extends the classic linear Granger causality framework to detect predictive relationships that operate through nonlinear dynamics. Using nonparametric or semi-parametric statistics based on correlation integrals or kernel density estimation, it identifies whether past values of one variable improve forecasts of another beyond what any linear model can capture.