Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
Birgit Strikholm and
Timo Teräsvirta ()
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Anne Peguin-Feissolle: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - ECM - Ecole Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique - AMU - Aix Marseille Université - EHESS - École des hautes études en sciences sociales
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In this article, 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: C22; C51; Granger Causality; Hypothesis Testing; Nonlinearity (search for similar items in EconPapers)
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Published in Communications in Statistics - Simulation and Computation, Taylor & Francis, 2013, 42 (5), pp.1063-1087. ⟨10.1080/03610918.2012.661500⟩
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Working Paper: Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form (2012)
Working Paper: Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01500895
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