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 (peguin@ehess.cnrs-mrs.fr) and Timo Teräsvirta (sttimo@hhs.se)
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
22 pages, November 9, 1999
- Published as
- Anne Péguin-Feissolle, 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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