The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.
A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE
Abstract
This paper proposes a nonparametric test of Granger causality in quantile. Zheng (1998, Econometric Theory 14, 123–138) studied the 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, Journal of Nonparametric Statistics 10, 245–271), we establish the asymptotic normal distribution of the test statistic under a β-mixing process. The test is consistent against all fixed alternatives and detects local alternatives approaching the null at proper rates. Simulations are carried out to illustrate the behavior of the test under the null and also the power of the test under plausible alternatives. An economic application considers the causal relations between the crude oil price, the USD/GBP exchange rate, and the gold price in the gold market.
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Citations
Cites
Investigating causal relations by econometric models and cross-spectral methods
Granger, C. W. J. (1969) · Econometrica · doi:10.2307/1912791 · Cited by 22,989
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Metadata
- Authors
- Jeong, K., Härdle, W. K., & Song, S.
- Venue
- Econometric Theory
- Publisher
- Cambridge University Press (CUP)
- Published
- 2012-01-19
- Volume
- 28
- Issue
- 4
- Pages
- 861-887
- ISSN
- 0266-4666 (ISSN-L)
- 1469-4360
- OpenAlex
- W1897029126
- Cited by
- 488
- References
- 4
- FWCI
- 5.39
- Type
- journal article
- Language
- en
- Open access
- closed
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- Jeong, K., Härdle, W. K., & Song, S. (2012). A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE. Econometric Theory. https://doi.org/10.1017/s0266466611000685
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