A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE

Liangjun Su and Halbert White

Econometric Theory, 2008, vol. 24, issue 04, pages 829-864

Abstract: We propose a nonparametric test of conditional independence based on the weighted Hellinger distance between the two conditional densities, f(y|x,z) and f(y|x), which is identically zero under the null. We use the functional delta method to expand the test statistic around the population value and establish asymptotic normality under 1/2h d/4. The cases for which not all random variables of interest are continuously valued or observable are also discussed. Monte Carlo simulation results indicate that the test behaves reasonably well in finite samples and significantly outperforms some earlier tests for a variety of data generating processes. We apply our procedure to test for Granger noncausality in exchange rates.

Date: 2008
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466608080341 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:24:y:2008:i:04:p:829-864_08

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().