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A general framework for testing the Granger noncausality hypothesis

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Author Info

  • Péguin-Feissolle, Anne

    ()
    (GREQAM-CNRS)

  • Teräsvirta, Timo

    ()
    (Dept. of Economic Statistics, Stockholm School of Economics)

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.

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Bibliographic Info

Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 343.

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Length: 22 pages
Date of creation: 09 Nov 1999
Date of revision:
Publication status: Published as Péguin-Feissolle, Anne, Timo Teräsvirta and Birgit Strikholm, 'Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. ' in Communications in Statistics – Simulation and Computation 42, 1063-1087, 2013, pages 1063-1087.
Handle: RePEc:hhs:hastef:0343

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Keywords: Hypothesis testing; causality; artificial neural networks; nonlinearity;

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Cited by:
  1. Phillip Rothman & Dick van Dijk & Philip Hans Franses, 2000. "A Multivariate STAR Analysis of the Relationship Between Money and Output," Working Papers 0012, East Carolina University, Department of Economics.
  2. 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.
  3. Nevin Yörük & Cumhur Erdem & Meziyet Sema Erdem, 2006. "Testing for linear and nonlinear Granger Causality in the stock price--volume relation: Turkish banking firms’ evidence," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(3), pages 165-171, May.
  4. Ruist, Erik, 2007. "The choice between two hypothesis tests," Working Paper Series in Economics and Finance 667, Stockholm School of Economics.
  5. Ahmad Zubaidi Baharumshah & Venus Khim-Sen Liew & Evan Lau, 2003. "Nonlinear Mean Reversion in Real Exchange Rates: Evidence from the ASEAN-5," International Trade 0308001, EconWPA.
  6. Tiwari, Aviral Kumar & Dar, Arif Billah & Bhanja, Niyati, 2013. "Oil price and exchange rates: A wavelet based analysis for India," Economic Modelling, Elsevier, vol. 31(C), pages 414-422.
  7. 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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