A General Framework for Testing the Granger Noncausality Hypothesis
Anne Péguin-Feissolle, Timo Teräsvirta · RePEc: Research Papers in Economics · 1999
In this paper, new noncausality tests relying on a general nonlinear framework are proposed and their performance studied by a Monte Carlo experiment and a variety of nonlinear artificial series. Two of the tests are based on a Taylor expansion of the nonlinear model around a given point in the sample space. Yet another test is based on artificial neural networks. The tests appear to be well-sized and have good power properties.