A general framework for testing the Granger noncausality hypothesis
In this paper, new noncausality tests relying 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 the tests are based on a Taylor expansion of the nonlinear model around a given point in the sample space. Yet another test is based on artificial neural networks. The tests appear to be well-sized and have good power properties.
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|Date of creation:||09 Nov 1999|
|Publication status:||Published as Péguin-Feissolle, Anne, Timo Teräsvirta and Birgit Strikholm, 'Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. ' in Communications in Statistics – Simulation and Computation 42, 1063-1087, 2013, pages 1063-1087.|
|Contact details of provider:|| Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden|
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