Testing instantaneous linear Granger causality in presence of nonlinear dynamics

Hamdi Raïssi

doi:10.1016/j.crma.2011.10.008

Testing instantaneous linear Granger causality in presence of nonlinear dynamics

Hamdi Raïssi

INSTITUTE OF STATISTICS

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	1203-1206
Number of pages	4
Journal	Comptes Rendus Mathematique
Volume	349
Issue number	21-22
DOIs	https://doi.org/10.1016/j.crma.2011.10.008
State	Published - Nov 2011

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Testing instantaneous linear Granger causality in presence of nonlinear dynamics

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