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.

MoreLess

Year of publication:	2007
Authors:	Péguin-Feissolle, Anne ; Strikholm, Birgit
Publisher:	Stockholm : Stockholm School of Economics, The Economic Research Institute (EFI)
Subject:	Kausalanalyse \| Zeitreihenanalyse \| Monte-Carlo-Methode \| Simulation \| Konjunktur \| Theorie \| Hypothesis testing \| causality

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Series:	SSE/EFI Working Paper Series in Economics and Finance ; 672
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	543914968 [GVK] hdl:10419/56089 [Handle]
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	EconStor

Persistent link: https://www.econbiz.de/10010281171