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.
|Date of creation:||25 Apr 2008|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.econ.au.dk/afn/|
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- Bell, David & Kay, Jim & Malley, Jim, 1996. "A non-parametric approach to non-linear causality testing," Economics Letters, Elsevier, vol. 51(1), pages 7-18, April.
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