Journal
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
Volume 42, Issue 5, Pages 1063-1087Publisher
TAYLOR & FRANCIS INC
DOI: 10.1080/03610918.2012.661500
Keywords
Granger causality; Hypothesis testing; Nonlinearity
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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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