A Nonparametric Hellinger Metric Test for Conditional Independence

• Main Authors: SU, Liangjun, WHITE, Halbert
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2008
• Subjects: β -mixing; Conditional independence; Functional de lta method; Granger non-causality; Hellinger distance; Local bootstrap; Sample selection bias; U -statistics; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/248; https://ink.library.smu.edu.sg/context/soe_research/article/1247/viewcontent/Nonparametric_Hellinger_Metric_Test_pp_2005.pdf
• Institution: Singapore Management University

We propose a nonparametric test of conditional independence based on the weighted Hellinger distance between the two conditional densities, f(y|x,z) and f(y|x), which is identically zero under the null. We use the functional delta method to expand the test statistic around the population value and e...