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A consistent nonparametric test for causality in quantile

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  • Jeong, Kiho
  • Härdle, Wolfgang Karl

Abstract

This 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 Zheng's 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 β-mixing (absolutely regular) process.

Suggested Citation

  • Jeong, Kiho & Härdle, Wolfgang Karl, 2008. "A consistent nonparametric test for causality in quantile," SFB 649 Discussion Papers 2008-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2008-007
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    References listed on IDEAS

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    3. Zheng, John Xu, 1998. "A Consistent Nonparametric Test Of Parametric Regression Models Under Conditional Quantile Restrictions," Econometric Theory, Cambridge University Press, vol. 14(1), pages 123-138, February.
    4. Cai, Zongwu, 2002. "Regression Quantiles For Time Series," Econometric Theory, Cambridge University Press, vol. 18(1), pages 169-192, February.
    5. Hsiao, Cheng & Li, Qi, 2001. "A Consistent Test For Conditional Heteroskedasticity In Time-Series Regression Models," Econometric Theory, Cambridge University Press, vol. 17(1), pages 188-221, February.
    6. Li, Q. & Wang, Suojin, 1998. "A simple consistent bootstrap test for a parametric regression function," Journal of Econometrics, Elsevier, vol. 87(1), pages 145-165, August.
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    JEL classification:

    • 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

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