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Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form

Abstract : In this article, 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.
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Submitted on : Monday, April 3, 2017 - 5:13:25 PM
Last modification on : Wednesday, August 5, 2020 - 3:11:03 AM

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Anne Peguin-Feissolle, Birgit Strikholm, Timo Teräsvirta. Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form. Communications in Statistics - Simulation and Computation, Taylor & Francis, 2013, 42 (5), pp.1063-1087. ⟨10.1080/03610918.2012.661500⟩. ⟨hal-01500895⟩

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