A consistent characteristic function-based test for conditional independence

DOI10.1016/j.jeconom.2006.11.006zbMath1418.62201OpenAlexW2045509016MaRDI QIDQ289185

Liangjun Su, Halbert White

Publication date: 27 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2005

zbMATH Keywords

nonparametric regression\(U\)-statisticsconditional characteristic functionconditional independenceGranger noncausality

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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