Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form
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- Anne Peguin-Feissolle & Birgit Strikholm & Timo Teräsvirta, 2013. "Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form," Post-Print hal-01500895, HAL.
- Péguin-Feissolle, Anne & Strikholm, Birgit & Teräsvirta, Timo, 2007. "Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form," SSE/EFI Working Paper Series in Economics and Finance 672, Stockholm School of Economics, revised 18 Jan 2012.
References listed on IDEAS
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More about this item
KeywordsHypothesis testing; causality;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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