[Test de la causalité instantanée linéaire de Granger en présence de dynamiques non linéaires]
Dans cette Note on considère le test de la causalité instantanée linéaire au sens de Granger entre deux variables dans le cas où les innovations sont dépendantes mais non corrélées (cʼest-à-dire des innovations linéaires). Les hypothèses considérées sont faibles et peuvent prendre en compte des non linéarités comme par exemple celles induites par les processus GARCH. Nous établissons que la statistique de Wald standard pour tester la causalité instantanée linéaire nʼest pas valide dans notre cadre. En conséquence des tests de Wald valides sont proposés.
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.
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@article{CRMATH_2011__349_21-22_1203_0,
author = {Ra{\"\i}ssi, Hamdi},
title = {Testing instantaneous linear {Granger} causality in presence of nonlinear dynamics},
journal = {Comptes Rendus. Math\'ematique},
pages = {1203--1206},
publisher = {Elsevier},
volume = {349},
number = {21-22},
year = {2011},
doi = {10.1016/j.crma.2011.10.008},
language = {en},
url = {http://www.numdam.org/articles/10.1016/j.crma.2011.10.008/}
}
TY - JOUR AU - Raïssi, Hamdi TI - Testing instantaneous linear Granger causality in presence of nonlinear dynamics JO - Comptes Rendus. Mathématique PY - 2011 SP - 1203 EP - 1206 VL - 349 IS - 21-22 PB - Elsevier UR - http://www.numdam.org/articles/10.1016/j.crma.2011.10.008/ DO - 10.1016/j.crma.2011.10.008 LA - en ID - CRMATH_2011__349_21-22_1203_0 ER -
%0 Journal Article %A Raïssi, Hamdi %T Testing instantaneous linear Granger causality in presence of nonlinear dynamics %J Comptes Rendus. Mathématique %D 2011 %P 1203-1206 %V 349 %N 21-22 %I Elsevier %U http://www.numdam.org/articles/10.1016/j.crma.2011.10.008/ %R 10.1016/j.crma.2011.10.008 %G en %F CRMATH_2011__349_21-22_1203_0
Raïssi, Hamdi. Testing instantaneous linear Granger causality in presence of nonlinear dynamics. Comptes Rendus. Mathématique, Tome 349 (2011) no. 21-22, pp. 1203-1206. doi : 10.1016/j.crma.2011.10.008. http://www.numdam.org/articles/10.1016/j.crma.2011.10.008/
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