Department of Economics and Business Economics

Timo Teräsvirta

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

Research output: Working paperResearch

    Anne Péguin-Feissolle, GREQAM, FranceBirgit Strikholm, Bank of Estonia, Estonia
  • Timo Teräsvirta
  • School of Economics and Management
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 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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages32
StatePublished - 2008

    Research areas

  • Hypothesis testing, causality

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ID: 11139199