CHARACTERISTIC FUNCTION BASED TESTING FOR CONDITIONAL INDEPENDENCE: A NONPARAMETRIC REGRESSION APPROACH

DOI10.1017/S026646661700010XzbMath1393.62019MaRDI QIDQ4569585

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Publication date: 26 June 2018

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

characteristic functionnonparametric regressionGranger causalityconditional independence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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