A General Framework for Testing the Granger Noncausality Hypothesis
Peguin-Feissolle, A. and
Timo Teräsvirta ()
G.R.E.Q.A.M. from Universite Aix-Marseille III
In this paper, new noncausality tests built on a general nonlinear framework are proposed and their performance studied by a Monte Carlo experiment and a variety of nonlinear artificial series. Two of these test are based on a Taylor expansion of the nonlinear model around a given point in a sample space. Another test is based on artifitical neural networkd. The test appear to be well-sized and have good power properties.
Keywords: TESTING; TIME SERIES; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C12 C22 C51 (search for similar items in EconPapers)
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Working Paper: A general framework for testing the Granger noncausality hypothesis (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:aixmeq:99a42
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