Conditional Independence Specification Testing for Dependent Processes with Local Polynomial Quantile Regression

DOI10.1108/S0731-9053(2012)0000029018MaRDI QIDQ5133589zbMATH OpenOpenAlexFDO

Authors Liangjun Su, Halbert White

Publication date 10 November 2020

Published in Essays in Honor of Jerry Hausman (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/s0731-9053(2012)0000029018

zbMATH Keywords

conditional exogeneityconditional independenceempirical processlocal polynomialquantile regressionspecification test

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05)

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Cited in

(12)

• Expansion for moments of regression quantiles with applications to nonparametric testing
• Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates
• A flexible nonparametric test for conditional independence
• Characteristic function based testing for conditional independence: a nonparametric regression approach
• The independence process in conditional quantile location-scale models and an application to testing for monotonicity
• A Projection-Based Nonparametric Test of Conditional Quantile Independence
• Nonparametric conditional local independence testing
• Robust nonparametric regression: a review
• Measuring Granger Causality in Quantiles
• A Projective Approach to Conditional Independence Test for Dependent Processes
• The Locally Gaussian Partial Correlation
• Testing linearity against threshold effects: uniform inference in quantile regression

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