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Full-Text Articles in Econometrics
Testing Conditional Independence Via Empirical Likelihood, Liangjun Su, Halbert White
Testing Conditional Independence Via Empirical Likelihood, Liangjun Su, Halbert White
Liangjun Su
We construct two classes of smoothed empirical likelihood ratio tests for the conditional independence hypothesis by writing the null hypothesis as an infinite collection of conditional moment restrictions indexed by a nuisance parameter. One class is based on the CDF; another is based on smoother functions. We show that the test statistics are asymptotically normal under the null hypothesis and a sequence of Pitman local alternatives. We also show that the tests possess an asymptotic optimality property in terms of average power. Simulations suggest that the tests are well behaved in finite samples. Applications to some economic and financial time …
Conditional Independence Specification Testing For Dependent Processes With Local Polynomial Quantile Regression, Liangjun Su, Halbert L. White
Conditional Independence Specification Testing For Dependent Processes With Local Polynomial Quantile Regression, Liangjun Su, Halbert L. White
Liangjun Su
We provide straightforward new nonparametric methods for testing conditional independence using local polynomial quantile regression, allowing weakly dependent data. Inspired by Hausman's (1978) specification testing ideas, our methods essentially compare two collections of estimators that converge to the same limits under correct specification (conditional independence) and that diverge under the alternative. To establish the properties of our estimators, we generalize the existing nonparametric quantile literature not only by allowing for dependent heterogeneous data but also by establishing a weak consistency rate for the local Bahadur representation that is uniform in both the conditioning variables and the quantile index. We also …