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Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form

Anne Peguin-Feissolle, 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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Abstract: 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)
Date: 2013
Note: View the original document on HAL open archive server: https://hal-amu.archives-ouvertes.fr/hal-01500895
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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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Related works:
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) Downloads
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