Jeong, Kiho (contributor); Härdle, Wolfgang (contributor) - 2008
dependent
data, particularly to the test of Granger causality in quantile. The proposed
test statistic is shown to have a … Words: Granger Causality, Quantile, Nonparametric Test
JEL classification: C14, C52
We thank Jürgen Franke for his …
framework for investigating causality has been developed by Granger (1969). Testing for
Granger causality between economic time …