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

Anne Péguin-Feissolle, Birgit Strikholm and Timo Teräsvirta

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: 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.

Keywords: Hypothesis testing; causality (search for similar items in EconPapers)
JEL-codes: C22 C51 (search for similar items in EconPapers)
Pages: 35
Date: 2008-04-25
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (12)

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https://repec.econ.au.dk/repec/creates/rp/08/rp08_19.pdf (application/pdf)

Related works:
Working Paper: Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form (2013)
Working Paper: Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2008-19

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