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Article Dans Une Revue Comptes Rendus. Mathématique Année : 2011

Testing instantaneous linear Granger causality in presence of nonlinear dynamics

Hamdi Raïssi
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Résumé

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.

Dates et versions

hal-00704589 , version 1 (05-06-2012)

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Citer

Hamdi Raïssi. Testing instantaneous linear Granger causality in presence of nonlinear dynamics. Comptes Rendus. Mathématique, 2011, 349 (21-22), pp.1203-1206. ⟨10.1016/j.crma.2011.10.008⟩. ⟨hal-00704589⟩
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