A Consistent Nonparametric Test For Causality In Quantile
AbstractThis paper proposes a nonparametric test of causality in quantile. Zheng (1998) has proposed an idea to reduce the problem of testing a quantile restriction to a problem of testing a particular type of mean restriction in independent data. We extend Zhengâs approach to the case of dependent data, particularly to the test of Granger causality in quantile. The proposed test statistic is shown to have a second-order degenerate U-statistic as a leading term under the null hypothesis. Using the result on the asymptotic normal distribution for a general second order degenerate U-statistics with weakly dependent data of Fan and Li (1996), we establish the asymptotic distribution of the test statistic for causality in quantile under Ã-mixing (absolutely regular) process.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 28 (2012)
Issue (Month): 04 (August)
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Other versions of this item:
- Kiho Jeong & Wolfgang Härdle, 2008. "A Consistent Nonparametric Test for Causality in Quantile," SFB 649 Discussion Papers SFB649DP2008-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Cai, Zongwu, 2002. "Regression Quantiles For Time Series," Econometric Theory, Cambridge University Press, vol. 18(01), pages 169-192, February.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Robinson, P M, 1989. "Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series," Review of Economic Studies, Wiley Blackwell, vol. 56(4), pages 511-34, October.
- Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
- Zheng, John Xu, 1998. "A Consistent Nonparametric Test Of Parametric Regression Models Under Conditional Quantile Restrictions," Econometric Theory, Cambridge University Press, vol. 14(01), pages 123-138, February.
- Härdle, Wolfgang K. & Song, Song, 2010. "Confidence Bands In Quantile Regression," Econometric Theory, Cambridge University Press, vol. 26(04), pages 1180-1200, August.
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