A general framework for testing the Granger noncausality hypothesis

Anne Péguin-Feissolle () and Timo Teräsvirta
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Anne Péguin-Feissolle: GREQAM-CNRS, Postal: Centre de la Charite, 2, rue de la Charite, F-13002 Marseille, France

No 343, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: In this paper, new noncausality tests relying 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 the tests are based on a Taylor expansion of the nonlinear model around a given point in the sample space. Yet another test is based on artificial neural networks. The tests appear to be well-sized and have good power properties.

Keywords: Hypothesis testing; causality; artificial neural networks; nonlinearity (search for similar items in EconPapers)
JEL-codes: C12 C22 C51 (search for similar items in EconPapers)
Pages: 22 pages
Date: 1999-11-09
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (12)

Published as Péguin-Feissolle, Anne, Timo Teräsvirta and Birgit Strikholm, 'Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. ' in Communications in Statistics – Simulation and Computation 42, 1063-1087, 2013, pages 1063-1087.

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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:hhs:hastef:0343

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