Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56089
Authors: 
Péguin-Feissolle, Anne
Strikholm, Birgit
Year of Publication: 
2007
Series/Report no.: 
SSE/EFI Working Paper Series in Economics and Finance 672
Abstract: 
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 a 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.
Subjects: 
Hypothesis testing
causality
JEL: 
C22
C51
Document Type: 
Working Paper

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