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Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form

Author

Listed:
  • Anne Peguin-Feissolle

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Birgit Strikholm
  • Timo Teräsvirta

Abstract

In this article, 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.

Suggested Citation

  • 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.
    • Handle: RePEc:hal:journl:hal-01500895
    DOI: 10.1080/03610918.2012.661500
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    JEL classification:

    • 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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