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

Anne Péguin-Feissolle · Birgit Strikholm · Timo Teräsvirta Y

35 citations0/0 files storedCommunications in Statistics - Simulation and Computation

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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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References

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