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A non-parametric approach to non-linear causality testing

Bell, D., Kay, J., and Malley, J. (1996) A non-parametric approach to non-linear causality testing. Economics Letters, 51 (1). pp. 7-18. ISSN 0165-1765 (doi:10.1016/0165-1765(95)00791-1)

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Publisher's URL: http://dx.doi.org/10.1016/0165-1765(95)00791-1

Abstract

In this paper we propose a new procedure for causality testing using non-parametric additive models. Our results suggest that the major advantage of our method is that it can be applied if the underlying data generation process is either linear or non-linear.

Item Type:Article
Status:Published
Refereed:Yes
Glasgow Author(s):Malley, Prof James
Authors: Bell, D., Kay, J., and Malley, J.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Economics Letters
Publisher:Elsevier BV
ISSN:0165-1765
ISSN (Online):1873-7374
Published Online:22 February 1999

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