Bell, D., Kay, J., and Malley, J. (1998) Nonparametric regression and causality testing: A Monte-Carlo study. Scottish Journal of Political Economy, 45 (5). pp. 528-552. ISSN 0036-9292 (doi:10.1111/1467-9485.00111)
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Publisher's URL: http://dx.doi.org/10.1111/1467-9485.00111
In this paper we propose a new procedure for causality testing using nonparametric additive models. We argue that the major advantage of our proposed method is that it can be used if the underlying data generation process (DGP) is either linear or nonlinear. Our results show that the nonparametric testing procedure provides a more robust test of causality. Furthermore, we show that the loss of power associated with the nonparametric procedure is minimal if the true DGP is linear.
|Glasgow Author(s) Enlighten ID:||Malley, Prof James|
|Authors:||Bell, D., Kay, J., and Malley, J.|
|College/School:||College of Social Sciences > Adam Smith Business School > Economics|
|Journal Name:||Scottish Journal of Political Economy|
|Publisher:||Wiley-Blackwell Publishing Ltd.|
|Published Online:||7 January 2003|