Journal articles
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.
https://hal-amu.archives-ouvertes.fr/hal-01500895
Contributor : Elisabeth Lhuillier Connect in order to contact the contributor
Submitted on : Monday, April 3, 2017 - 5:13:25 PM
Last modification on : Thursday, November 4, 2021 - 11:58:07 AM
Contributor : Elisabeth Lhuillier Connect in order to contact the contributor
Submitted on : Monday, April 3, 2017 - 5:13:25 PM
Last modification on : Thursday, November 4, 2021 - 11:58:07 AM
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