A Consistent Nonparametric Test for Causality

Kohtaro Hitomi, Yoshinori Kawasaki, Ryo Okui and Yoshihiko Nishiyama
Additional contact information
Kohtaro Hitomi: Institute of Technology, Kyoto University
Yoshinori Kawasaki: Institute of Statistical Mathematics

No 602, KIER Working Papers from Kyoto University, Institute of Economic Research

Abstract: We propose a nonparametric test for Granger-type causality. A conceptually similar work will be Hidalgo (2000), who introduced a nonparametric Granger causality test in the frequency domain for weakly stationary linear processes. He is mainly concerned with the test under long range dependent observations, and it does not have a power against some alternatives of series with nonlinear dynamics. We construct a test statistic based on moment conditions allowing for nonlinear dependence. The test has a nontrivial power against T1/2-local alternatives where T is sample size. Its null asymptotic distribution is not normal, but we can easily calculate the critical region by simularion.

Pages: 17 pages
Date: 2005-03
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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: https://EconPapers.repec.org/RePEc:kyo:wpaper:602

Access Statistics for this paper

More papers in KIER Working Papers from Kyoto University, Institute of Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Makoto Watanabe ().