A conditional independence test for dependent data based on maximal conditional correlation.
Journal
J. Multivariate Analysis
Journal Volume
107
Pages
210-226
Date Issued
2012
Author(s)
Huang, Tzee-Ming
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. © 2012 Elsevier Inc.
Type
journal article