This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

A general framework for testing the Granger noncausality hypothesis

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Péguin-Feissolle, Anne () (GREQAM-CNRS)
Teräsvirta, Timo () (Dept. of Economic Statistics, Stockholm School of Economics)

Additional information is available for the following registered author(s):

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://swopec.hhs.se/hastef/papers/hastef0343.pdf.zip
File Format: application/pdf
File Function:
Download Restriction: no
File URL: http://swopec.hhs.se/hastef/papers/hastef0343.pdf
File Format: application/pdf
File Function:
Download Restriction: no
File URL: http://swopec.hhs.se/hastef/papers/hastef0343.ps.zip
File Format: application/postscript
File Function:
Download Restriction: no
File URL: http://swopec.hhs.se/hastef/papers/hastef0343.ps
File Format: application/postscript
File Function:
Download Restriction: no

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

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 22 pages
Date of creation: 09 Nov 1999
Date of revision:
Handle: RePEc:hhs:hastef:0343

Contact details of provider:
Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
Phone: +46-(0)8-736 90 00
Fax: +46-(0)8-31 01 57
Email:
Web page: http://www.hhs.se/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Helena Lundin).

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

Other versions of this item:

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

This paper has been announced in the following NEP Reports:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
  1. Marie Lebreton & Anne Peguin-feissolle, 2007. "Robust Tests for Heteroscedasticity in a general Framework," Annales d'Economie et de Statistique, ADRES, issue 85, pages 07, Janvier-M. [Downloadable!]
  2. 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. [Downloadable!] (restricted)
  3. 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]. [Downloadable!]
  4. 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. [Downloadable!]
    Other versions:
  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. [Downloadable!]
Statistics
Access and download statistics

Did you know? Over 1000 institutions contribute their bibliographic data directly to this service.

This page was last updated on 2009-12-18.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.