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

Standard

Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. / Péguin-Feissolle, Anne; Strikholm, Birgit; Teräsvirta, Timo.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

Research output: Working paperResearch

Harvard

Péguin-Feissolle, A, Strikholm, B & Teräsvirta, T 2008 'Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Péguin-Feissolle, A., Strikholm, B., & Teräsvirta, T. (2008). Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. Aarhus: Institut for Økonomi, Aarhus Universitet.

CBE

Péguin-Feissolle A, Strikholm B, Teräsvirta T. 2008. Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Péguin-Feissolle, Anne, Birgit Strikholm, and Timo Teräsvirta Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. Aarhus: Institut for Økonomi, Aarhus Universitet. 2008., 32 p.

Vancouver

Péguin-Feissolle A, Strikholm B, Teräsvirta T. Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. Aarhus: Institut for Økonomi, Aarhus Universitet. 2008.

Author

Péguin-Feissolle, Anne ; Strikholm, Birgit ; Teräsvirta, Timo. / Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

Bibtex

@techreport{93025f60129b11ddb1e8000ea68e967b,
title = "Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form",
abstract = "In this paper we propose a general method for testing the Granger noncausalityhypothesis in stationary nonlinear models of unknown functional form. Thesetests are based on a Taylor expansion of the nonlinear model around a givenpoint in the sample space. We study the performance of our tests by a MonteCarlo experiment and compare these to the most widely used linear test. Ourtests appear to be well-sized and have reasonably good power properties.",
keywords = "Hypothesis testing, causality",
author = "Anne P{\'e}guin-Feissolle and Birgit Strikholm and Timo Ter{\"a}svirta",
year = "2008",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form

AU - Péguin-Feissolle,Anne

AU - Strikholm,Birgit

AU - Teräsvirta,Timo

PY - 2008

Y1 - 2008

N2 - In this paper we propose a general method for testing the Granger noncausalityhypothesis in stationary nonlinear models of unknown functional form. Thesetests are based on a Taylor expansion of the nonlinear model around a givenpoint in the sample space. We study the performance of our tests by a MonteCarlo experiment and compare these to the most widely used linear test. Ourtests appear to be well-sized and have reasonably good power properties.

AB - In this paper we propose a general method for testing the Granger noncausalityhypothesis in stationary nonlinear models of unknown functional form. Thesetests are based on a Taylor expansion of the nonlinear model around a givenpoint in the sample space. We study the performance of our tests by a MonteCarlo experiment and compare these to the most widely used linear test. Ourtests appear to be well-sized and have reasonably good power properties.

KW - Hypothesis testing, causality

M3 - Working paper

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

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -