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

Publikation: Working paperForskning

  • Anne Péguin-Feissolle, GREQAM, Frankrig
  • Birgit Strikholm, Bank of Estonia, Estland
  • Timo Teräsvirta
  • Institut for Økonomi
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.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider32
StatusUdgivet - 2008

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