A General Framework for Testing the Granger Noncausality Hypothesis
AbstractIn this paper, new noncausality tests built 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 these test are based on a Taylor expansion of the nonlinear model around a given point in a sample space. Another test is based on artifitical neural networkd. The test appear to be well-sized and have good power properties.
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Bibliographic InfoPaper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 99a42.
Length: 22 pages
Date of creation: 1999
Date of revision:
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TESTING ; TIME SERIES ; ECONOMIC MODELS;
Other versions of this item:
- Péguin-Feissolle, Anne & Teräsvirta, Timo, 1999. "A general framework for testing the Granger noncausality hypothesis," Working Paper Series in Economics and Finance 343, Stockholm School of Economics.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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- Chen, Show-Lin & Tsai, Li-Ju & Wu, Jyh-Lin, 2004. "A revisit to liquidity effects--evidence from a non-linear approach," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 501-517, September.
- Ruist, Erik, 2007. "The choice between two hypothesis tests," Working Paper Series in Economics and Finance 667, Stockholm School of Economics.
- João Paulo Martin Faleiros & Denisard Cnéio de Oliveira Alves, 2008. "Modelo de Crescimento Baseado nas Exportações: Evidências empíricas para Chile, Brasil e México, em uma perspectiva Não Linear," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807170923500, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
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- Phillip Rothman & Dick van Dijk & Philip Hans Franses, 2000.
"A Multivariate STAR Analysis of the Relationship Between Money and Output,"
0012, East Carolina University, Department of Economics.
- Rothman, P. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 1999. "A multivariate STAR analysis of the relationship between money and output," Econometric Institute Research Papers EI 9945-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Philip Rothman & Dick van Dijk & Philip Hans Franses, 1999. "A Multivariate STAR Analysis of the Relationship Between Money and Output," Working Papers 9913, East Carolina University, Department of Economics.
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