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

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.

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Year of publication:	2007-08-27
Authors:	Péguin-Feissolle, Anne ; Strikholm, Birgit ; Teräsvirta, Timo
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	Hypothesis testing \| causality

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Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Notes:	This is a revised version (January 2012) of the paper. Published as Péguin-Feissolle, Anne, Birgit Strikholm and Timo Teräsvirta, 'Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form' in Communications in Statistics - Simulation and Computation, 2013, pages 1063-1087. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 672 30 pages
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005207185