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. (doi: 10.1111/1467-9485.00111)
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Publisher's URL: http://dx.doi.org/10.1111/1467-9485.00111
Abstract
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.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Malley, Professor Jim and Kay, Dr James |
| Authors: | Bell, D., Kay, J., and Malley, J. |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics College of Science and Engineering > School of Mathematics and Statistics > Statistics |
| Journal Name: | Scottish Journal of Political Economy |
| Publisher: | Wiley-Blackwell Publishing Ltd. |
| ISSN: | 0036-9292 |
| ISSN (Online): | 1467-9485 |
| Published Online: | 07 January 2003 |
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