Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form

Anne Péguin-Feissolle; Birgit Strikholm

In this paper we propose a general method for testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. These tests are based on a Taylor expansion of the nonlinear model around a given point in a sample space. We study the performance of our tests by a Monte Carlo experiment and compare these to the most widely used linear test. Our tests appear to be well-sized and have reasonably good power properties. -- Hypothesis testing ; causality

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Year of publication:	Aug. 2007 ; Rev. January 18, 2012
Other Persons:	Péguin-Feissolle, Anne (contributor) ; Strikholm, Birgit (contributor)
Publisher:	Stockholm : Ekonomiska Forskningsinst.
Subject:	Kausalanalyse \| Causality analysis \| Zeitreihenanalyse \| Time series analysis \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Simulation \| Konjunktur \| Business cycle \| Theorie \| Theory