A consistent characteristic function-based test for conditional independence

A consistent characteristic function-based test for conditional independence

Y is conditionally independent of Z given X if Pr{f(y|X,Z)=f(y|X)}=1 for all y on its support, where f(·|·) denotes the conditional density of Y given (X,Z) or X. This paper proposes a nonparametric test of conditional independence based on the notion that two conditional distributions are equal if...

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Bibliographic Details
Main Authors: SU, Liangjun, WHITE, Halbert
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Conditional characteristic function
Conditional independence
Granger noncausality
Nonparametric regression
U-statistics
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2005
https://ink.library.smu.edu.sg/context/soe_research/article/3004/viewcontent/A_consistent_characteristic_function_based_test_fo.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2005
https://ink.library.smu.edu.sg/context/soe_research/article/3004/viewcontent/A_consistent_characteristic_function_based_test_fo.pdf

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