A conditional independence test for dependent data based on maximal conditional correlation

Yu-Hsiang Cheng and Tzee-Ming Huang

Journal of Multivariate Analysis, 2012, vol. 107, issue C, 210-226

Abstract: In Huang (2010) [8], a test of conditional independence based on maximal nonlinear conditional correlation is proposed and the asymptotic distribution for the test statistic under conditional independence is established for IID data. In this paper, we derive the asymptotic distribution for the test statistic under conditional independence for α-mixing data. The results of simulation show that the test performs reasonably well for dependent data. We also apply the test to stock index data to test Granger noncausality between returns and trading volume.

Keywords: Conditional independence test; α-mixing; Maximal conditional nonlinear correlation (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.jmva.2012.01.017

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