A General Framework for Testing the Granger Noncausality Hypothesis
In this paper, new noncausality tests built 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 these test are based on a Taylor expansion of the nonlinear model around a given point in a sample space. Another test is based on artifitical neural networkd. The test appear to be well-sized and have good power properties.
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|Date of creation:||1999|
|Date of revision:|
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