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英文文献：Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form-在未知函数形式的平稳非线性模型中检验格兰杰非因果假设
英文文献作者：Anne Péguin-Feissolle,Birgit Strikholm,Timo Ter?svirta
英文文献摘要：
In this paper 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.
本文提出了一种检验未知函数形式平稳非线性模型中格兰杰非因果性假设的一般方法。这些测试是基于非线性模型在样本空间中给定点附近的泰勒展开。我们通过蒙特卡罗实验来研究我们的测试的性能，并与最广泛使用的线性测试进行比较。我们的测试看起来是良好的大小和有相当好的功率特性。
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