Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form
AbstractIn this paper we propose a general method for testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. These tests are based on a Taylor expansion of the nonlinear model around a given point in a sample space. We study the performance of our tests by a Monte Carlo experiment and compare these to the most widely used linear test. Our tests appear to be well-sized and have reasonably good power properties.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 672.
Length: 30 pages
Date of creation: 27 Aug 2007
Date of revision: 18 Jan 2012
Publication status: Published as Péguin-Feissolle, Anne, Birgit Strikholm and Timo Teräsvirta, 'Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form' in Communications in Statistics - Simulation and Computation, 2013, pages 1063-1087.
Note: This is a revised version (January 2012) of the paper.
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Hypothesis testing; causality;
Other versions of this item:
- Anne Péguin-Feissolle & Birgit Strikholm & Timo Teräsvirta, 2008. "Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form," CREATES Research Papers 2008-19, School of Economics and Management, University of Aarhus.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-16 (All new papers)
- NEP-ECM-2007-09-16 (Econometrics)
- NEP-ETS-2007-09-16 (Econometric Time Series)
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