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 the 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.

MoreLess

Year of publication:	2008-04-25
Authors:	Péguin-Feissolle, Anne ; Strikholm, Birgit ; Teräsvirta, Timo
Institutions:	School of Economics and Management, University of Aarhus
Subject:	Hypothesis testing \| causality

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	3 pages long
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005787567