A Consistent Nonparametric Test for Causality in Quantile

• 영문명: A Consistent Nonparametric Test for Causality in Quantile
• 발행기관: 한국계량경제학회
• 저자명: Kiho Jeong Wolfgang Karl Hä rdle
• 간행물 정보: 『한국계량경제학회 학술대회 논문집』2009년 공동학술대회, 1~24쪽, 전체 24쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2008.11.30

영문 초록

This paper proposes a nonparametric test of Granger 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. Combining the results of Zheng (1998) and Fan and Li (1999), we establish the asymptotic normal distribution of the test statistic under beta mixing process. The test is consistent against all fixed alternatives and detects local alternatives approaching to the null at proper rates.

목차

1. Introduction

2. Nonparametric Test for Granger-Causality in Quantile

3. The Limiting Distributions of the Test Statistic

4. Conclusion

키워드

Granger Causality Quantile Nonparametric Test