Resource title

A consistent nonparametric test for causality in quantile

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Resource description

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 ?-mixing (absolutely regular) process.

Resource author

Kiho Jeong, Wolfgang Karl Härdle

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Resource language

eng

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text/html

Resource resource URL

http://hdl.handle.net/10419/25249

Resource license

Adapt according to the presented license agreement and reference the original author.