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• W1897029126 abstract "This paper proposes a nonparametric test of Granger causality in quantile. Zheng (1998, Econometric Theory 14, 123–138) studied the idea to reduce the problem of testing a quantile restriction to a problem of testing a particular type of mean restriction in independent data. We extend Zheng’s approach to the case of dependent data, particularly to the test of Granger causality in quantile. Combining the results of Zheng (1998) and Fan and Li (1999, Journal of Nonparametric Statistics 10, 245–271), we establish the asymptotic normal distribution of the test statistic under a β -mixing process. The test is consistent against all fixed alternatives and detects local alternatives approaching the null at proper rates. Simulations are carried out to illustrate the behavior of the test under the null and also the power of the test under plausible alternatives. An economic application considers the causal relations between the crude oil price, the USD/GBP exchange rate, and the gold price in the gold market." @default.
• W1897029126 created "2016-06-24" @default.
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• W1897029126 date "2012-01-19" @default.
• W1897029126 modified "2023-10-10" @default.
• W1897029126 title "A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE" @default.
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• W1897029126 doi "https://doi.org/10.1017/s0266466611000685" @default.
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