A consistent nonparametric test for nonlinear causality -- specification in time series regression
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Publication:738056
DOI10.1016/J.JECONOM.2011.05.010zbMATH Open1441.62821OpenAlexW2015857797MaRDI QIDQ738056FDOQ738056
Authors: Yoshihiko Nishiyama, Kohtaro Hitomi, Yoshinori Kawasaki, Kiho Jeong 
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.05.010
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local alternativesnonlinear causalitynonparametric testcausality up to \(K\)th momentomitted variables test
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
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- On the Granger Condition for Non-Causality
- Vector Autoregressions and Causality
- Nonparametric Test for Causality with Long-range Dependence
- The decomposition and measurement of the interdependency between second- order stationary processes
- Model specification testing of time series regressions
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- Second-oder noncausality in multivariate GARCH processes
- Introduction to the Mathematical and Satistical Foundations of Econometrics
- Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series
Cited In (30)
- A Note on the Hiemstra-Jones Test for Granger Non-causality
- A new statistic and practical guidelines for nonparametric Granger causality testing
- Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study
- Inference on local causality and tests of non-causality in time series
- A non-parametric approach to non-linear causality testing
- Multivariate causality tests with simulation and application
- Title not available (Why is that?)
- Non-causality in bivariate binary time series
- A model-free characterization of causality
- Linear and nonlinear causality tests in an LSTAR model: wavelet decomposition in a nonlinear environment
- A consistent nonparametric test for causality in quantile
- Testing for causality in variance under nonstationarity in variance
- Editorial. Moment restriction-based econometric methods: an overview
- Multivariate linear and nonlinear causality tests
- Stock market's reaction to money supply: a nonparametric analysis
- ON THE CAUSALITY TEST IN TIME SERIES MODELS WITH HEAVY-TAILED DISTRIBUTION
- PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY‐IN‐QUANTILES TEST
- The reaction of stock market returns to unemployment
- Characteristic function based testing for conditional independence: a nonparametric regression approach
- Title not available (Why is that?)
- Nonparametric Tests of the Causal Null With Nondiscrete Exposures
- Does economic policy uncertainty predict exchange rate returns and volatility? Evidence from a nonparametric causality-in-quantiles test
- Testing linear causality in mean when the number of estimated parameters is high
- Statistical causality for multivariate nonlinear time series via Gaussian process models
- Testing instantaneous linear Granger causality in presence of nonlinear dynamics
- Time-dependent copulas
- Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain
- Nonparametric Test for Causality with Long-range Dependence
- Factor double autoregressive models with application to simultaneous causality testing
- Measuring Nonlinear Granger Causality in Mean
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