Taamouti, Abderrahim; Bouezmarni, Taoufik; Ghouch, Anouar El - Departamento de Economía, Universidad Carlos III de Madrid - 2012
We propose a nonparametric estimator and a nonparametric test for Granger causality measures that quantify linear and … nonlinear Granger causality in distribution between random variables. We first show how to write the Granger causality measures … in terms of copula densities. We suggest a consistent estimator for these causality measures based on nonparametric …