Testing Conditional Independence via Empirical Likelihood

Testing Conditional Independence via Empirical Likelihood

We construct two classes of smoothed empirical likelihood ratio tests for the conditional independence hypothesis by writing the null hypothesis as an infinite collection of conditional moment restrictions indexed by a nuisance parameter. One class is based on the CDF; another is based on smoother f...

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Bibliographic Details
Main Authors: SU, Liangjun, WHITE, Halbert
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
Subjects:
Conditional independence
Empirical likelihood
Granger causality
Local bootstrap
Nonlinear dependence
Nonparametric regression
U-statistics
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1477
https://ink.library.smu.edu.sg/context/soe_research/article/2476/viewcontent/hw_2009_29_11_20testing_20conditional_20independence_20via_20empirical_20likelihood.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1477
https://ink.library.smu.edu.sg/context/soe_research/article/2476/viewcontent/hw_2009_29_11_20testing_20conditional_20independence_20via_20empirical_20likelihood.pdf

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