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

• Main Authors: SU, Liangjun, WHITE, Halbert L.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2012
• Subjects: Conditional independence; Empirical process; Granger causality; Local polynomial; Quantile regression; Specification test; Uniform local Bahadur representation; Econometrics
• Online Access: 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
• Institution: 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...