@techreport{Jeong2008consistent,
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 ?-mixing (absolutely regular) process.},
address = {Berlin},
author = {Kiho Jeong and Wolfgang Karl H\"{a}rdle},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C14; C52; 330; Granger Causality , Quantile , Nonparametric Test; Kausalanalyse; Statistischer Test; Nichtparametrisches Verfahren; Theorie},
language = {eng},
number = {2008,007},
publisher = {SFB 649, Economic Risk},
title = {A consistent nonparametric test for causality in quantile},
type = {SFB 649 discussion paper},
url = {http://hdl.handle.net/10419/25249},
year = {2008}
}
