Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

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

Anne Péguin-Feissolle () and Timo Teräsvirta ()
Additional contact information
Anne Péguin-Feissolle: GREQAM-CNRS, Postal: Centre de la Charite, 2, rue de la Charite, F-13002 Marseille, France
Timo Teräsvirta: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, SE-113 83 Stockholm, Sweden

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

JEL-codes: C12; C22; C51

22 pages, November 9, 1999

Download statistics

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 ().

This page generated on 2020-02-16 18:55:44.