Scandinavian Working Papers in Economics
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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

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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

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