SSE/EFI Working Paper Series in Economics and Finance
Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form
(), Birgit Strikholm
() and Timo Teräsvirta
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; (follow links to similar papers)
JEL-Codes: C22; C51; (follow links to similar papers)
30 pages, August 27, 2007, Revised January 18, 2012
This is a revised version (January 2012) of the paper.
- This paper is published as:
Péguin-Feissolle, Anne, Birgit Strikholm and Timo Teräsvirta, (2013), 'Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form', Communications in Statistics - Simulation and Computation, Vol. 42, pages 1063-1087
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