Arbeitspapier
A consistent nonparametric test for causality in quantile
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 Zhengs 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 ?-mixing (absolutely regular) process.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2008,007
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Model Evaluation, Validation, and Selection
- Thema
-
Granger Causality , Quantile , Nonparametric Test
Kausalanalyse
Statistischer Test
Nichtparametrisches Verfahren
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Jeong, Kiho
Härdle, Wolfgang Karl
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Jeong, Kiho
- Härdle, Wolfgang Karl
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2008
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