Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form
In 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 the 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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- Davidson, Russell & MacKinnon, James G, 1998.
"Graphical Methods for Investigating the Size and Power of Hypothesis Tests,"
The Manchester School of Economic & Social Studies,
University of Manchester, vol. 66(1), pages 1-26, January.
- Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Papers 903, Queen's University, Department of Economics.
- repec:hal:journl:hal-00287137 is not listed on IDEAS
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