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

Anne Péguin-Feissolle (), Birgit Strikholm and Timo Teräsvirta
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Anne Péguin-Feissolle: GREQAM, Postal: Centre de la Vieille Charité , 2 rue de la Charité , F-13002 Marseille , France

No 672, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

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 a 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: 30 pages
Date: 2007-08-27, Revised 2012-01-18
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: This is a revised version (January 2012) of the paper.
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Citations: View citations in EconPapers (18)

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

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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 (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0672

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