Testing Conditional Independence via Empirical Likelihood

• 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
• Institution: Singapore Management University

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...