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.

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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

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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