Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form |
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| Authors: | Anne Péguin-Feissolle Birgit Strikholm Timo Teräsvirta |
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| Affiliation: | 1. GREQAM, Centre de la Vieille Charité , Marseille , France;2. Bank of Estonia , Tallinn , Estonia;3. Department of Economics and Business , CREATES, Aarhus University , Aarhus C , Denmark |
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| 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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| Keywords: | Granger causality Hypothesis testing Nonlinearity |
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