A consistent nonparametric test for nonlinear causality -- specification in time series regression
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Cites work
- A Consistent Conditional Moment Test of Functional Form
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- Asymptotic Theory of Integrated Conditional Moment Tests
- Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
- Consistent Specification Testing Via Nonparametric Series Regression
- Consistent bootstrap tests of parametric regression functions
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- Vector Autoregressions and Causality
Cited in
(35)- Measuring Nonlinear Granger Causality in Mean
- A new statistic and practical guidelines for nonparametric Granger causality testing
- A Note on the Hiemstra-Jones Test for Granger Non-causality
- Supply chain constraints and the predictability of the conditional distribution of international stock market returns and volatility
- 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
- scientific article; zbMATH DE number 4072212 (Why is no real title available?)
- Non-causality in bivariate binary time series
- A model-free characterization of causality
- Testing for Granger-causality in quantiles
- Some theoretical and simulation results on the frequency domain causality test
- A consistent nonparametric test for causality in quantile
- Linear and nonlinear causality tests in an LSTAR model: wavelet decomposition in a nonlinear environment
- 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
- Stock returns, crude oil and gold prices in Turkey: evidence from rolling window-based nonparametric quantile causality test
- Do changes in the real exchange rate affect the trade balance? Evidence from European countries
- scientific article; zbMATH DE number 5968895 (Why is no real title available?)
- Nonparametric Tests of the Causal Null With Nondiscrete Exposures
- Testing linear causality in mean when the number of estimated parameters is high
- Does economic policy uncertainty predict exchange rate returns and volatility? Evidence from a nonparametric causality-in-quantiles test
- 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
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