S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 343:
A general framework for testing the Granger noncausality hypothesis

Anne Péguin-Feissolle () and Timo Teräsvirta ()

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; (follow links to similar papers)

JEL-Codes: C12; C22; C51; (follow links to similar papers)

22 pages, November 9, 1999

Download Statistics


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



Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:hastef:0343 This page was generated on 2014-12-14 19:22:58