Conditional Independence Specification Testing for Dependent Processes with Local Polynomial Quantile Regression

• المؤلفون الرئيسيون: SU, Liangjun, WHITE, Halbert L.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2012
• الموضوعات: Conditional independence; Empirical process; Granger causality; Local polynomial; Quantile regression; Specification test; Uniform local Bahadur representation; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1433; https://ink.library.smu.edu.sg/context/soe_research/article/2432/viewcontent/hw_11_12_11_qr_ci_test.pdf
• المؤسسة: Singapore Management University

We provide straightforward new nonparametric methods for testing conditional independence using local polynomial quantile regression, allowing weakly dependent data. Inspired by Hausman's (1978) specification testing ideas, our methods essentially compare two collections of estimators that conv...