A General Framework for Testing the Granger Noncausality Hypothesis.

In this paper, new noncausality tests built on a general nonlinear framework are proposed and their performance studied by a Monte Carlo experiment and a variety of nonlinear artificial series. Two of these test are based on a Taylor expansion of the nonlinear model around a given point in a sample space. Another test is based on artifitical neural networkd. The test appear to be well-sized and have good power properties.

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Year of publication:	1999
Authors:	Peguin-Feissolle, A. ; Terasvirta, T.
Institutions:	Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE)
Subject:	TESTING \| TIME SERIES \| ECONOMIC MODELS

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Series:	G.R.E.Q.A.M..
Type of publication:	Book / Working Paper
Notes:	22 pages
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005669417