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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Main Authors: SU, Liangjun, WHITE, Halbert
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Language:English
Published: Institutional Knowledge at Singapore Management University 2013
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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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spelling sg-smu-ink.soe_research-24762015-12-10T07:05:31Z Testing Conditional Independence via Empirical Likelihood SU, Liangjun WHITE, Halbert 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 functions. We show that the test statistics are asymptotically normal under the null hypothesis and a sequence of Pitman local alternatives. We also show that the tests possess an asymptotic optimality property in terms of average power. Simulations suggest that the tests are well behaved in finite samples. Applications to some economic and financial time series indicate that our tests reveal some interesting nonlinear causal relations which the traditional linear Granger causality test fails to detect. 2013-01-01T08:00:00Z text application/pdf 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 http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Conditional independence Empirical likelihood Granger causality Local bootstrap Nonlinear dependence Nonparametric regression U-statistics Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Conditional independence
Empirical likelihood
Granger causality
Local bootstrap
Nonlinear dependence
Nonparametric regression
U-statistics
Econometrics
spellingShingle Conditional independence
Empirical likelihood
Granger causality
Local bootstrap
Nonlinear dependence
Nonparametric regression
U-statistics
Econometrics
SU, Liangjun
WHITE, Halbert
Testing Conditional Independence via Empirical Likelihood
description 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 functions. We show that the test statistics are asymptotically normal under the null hypothesis and a sequence of Pitman local alternatives. We also show that the tests possess an asymptotic optimality property in terms of average power. Simulations suggest that the tests are well behaved in finite samples. Applications to some economic and financial time series indicate that our tests reveal some interesting nonlinear causal relations which the traditional linear Granger causality test fails to detect.
format text
author SU, Liangjun
WHITE, Halbert
author_facet SU, Liangjun
WHITE, Halbert
author_sort SU, Liangjun
title Testing Conditional Independence via Empirical Likelihood
title_short Testing Conditional Independence via Empirical Likelihood
title_full Testing Conditional Independence via Empirical Likelihood
title_fullStr Testing Conditional Independence via Empirical Likelihood
title_full_unstemmed Testing Conditional Independence via Empirical Likelihood
title_sort testing conditional independence via empirical likelihood
publisher Institutional Knowledge at Singapore Management University
publishDate 2013
url 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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