方法证据记录
Hiemstra-Jones Causality
The Hiemstra-Jones test, introduced in 1994, is a nonparametric procedure for detecting nonlinear causal relationships between two time series after removing their linear interdependencies. Developed in the context of stock price and trading volume dynamics, it extends the standard linear Granger causality framework by using correlation integral statistics to detect predictability arising from nonlinear mechanisms that linear VAR models cannot capture.
源记录
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Hiemstra-Jones Nonlinear Granger Causality Test
分类方法记录 · hypothesis-test / econometrics
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