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タイトル: | A consistent nonparametric test for nonlinear causality—Specification in time series regression |
著者: | Nishiyama, Yoshihiko Hitomi, Kohtaro Kawasaki, Yoshinori Jeong, Kiho |
著者名の別形: | 西山, 慶彦 |
キーワード: | Nonlinear causality Causality up to K-th moment Nonparametric test Omitted variables test Local alternatives |
発行日: | Nov-2011 |
出版者: | Elsevier B.V. |
誌名: | Journal of Econometrics |
巻: | 165 |
号: | 1 |
開始ページ: | 112 |
終了ページ: | 127 |
抄録: | Since the pioneering work by Granger (1969), many authors have proposed tests of causality between economic time series. Most of them are concerned only with “linear causality in mean”, or if a series linearly affects the (conditional) mean of the other series. It is no doubt of primary interest, but dependence between series may be nonlinear, and/or not only through the conditional mean. Indeed conditional heteroskedastic models are widely studied recently. The purpose of this paper is to propose a nonparametric test for possibly nonlinear causality. Taking into account that dependence in higher order moments are becoming an important issue especially in financial time series, we also consider a test for causality up to the K-th conditional moment. Statistically, we can also view this test as a nonparametric omitted variable test in time series regression. A desirable property of the test is that it has nontrivial power against T[1/2]-local alternatives, where T is the sample size. Also, we can form a test statistic accordingly if we have some knowledge on the alternative hypothesis. Furthermore, we show that the test statistic includes most of the omitted variable test statistics as special cases asymptotically. The null asymptotic distribution is not normal, but we can easily calculate the critical regions by simulation. Monte Carlo experiments show that the proposed test has good size and power properties. |
著作権等: | © 2011 Elsevier B.V. この論文は出版社版でありません。引用の際には出版社版をご確認ご利用ください。 This is not the published version. Please cite only the published version. |
URI: | http://hdl.handle.net/2433/148009 |
DOI(出版社版): | 10.1016/j.jeconom.2011.05.010 |
出現コレクション: | 学術雑誌掲載論文等 |
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