Testing instantaneous linear Granger causality in presence of nonlinear dynamics

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Abstract

This Note is devoted to the test of instantaneous linear Granger causality when the errors are dependent but uncorrelated. The assumptions are weak and include a large set of dynamics as for instance the GARCH processes. We show that the standard Wald test for testing instantaneous linear Granger causality is not valid in our framework. As a consequence Wald tests which are valid in our framework are proposed.

Original languageEnglish
Pages (from-to)1203-1206
Number of pages4
JournalComptes Rendus Mathematique
Volume349
Issue number21-22
DOIs
StatePublished - Nov 2011

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