Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25249
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dc.contributor.authorJeong, Kihoen_US
dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.date.accessioned2008-02-21en_US
dc.date.accessioned2009-07-23T15:03:31Z-
dc.date.available2009-07-23T15:03:31Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/25249-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk|cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper|x2008,007en_US
dc.subject.jelC14en_US
dc.subject.jelC52en_US
dc.subject.ddc330en_US
dc.subject.keywordGranger Causality , Quantile , Nonparametric Testen_US
dc.subject.stwKausalanalyseen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwNichtparametrisches Verfahrenen_US
dc.subject.stwTheorieen_US
dc.titleA consistent nonparametric test for causality in quantileen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn55874964Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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