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Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form

Author

Listed:
  • Péguin-Feissolle, Anne

    (GREQAM)

  • Strikholm, Birgit

    (Bank of Estonia)

  • Teräsvirta, Timo

    (CREATES, Department of Economics and Business)

Abstract

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 a 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

  • 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.
    • Handle: RePEc:hhs:hastef:0672
    Note: This is a revised version (January 2012) of the paper.
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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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