Su, Liangjun; White, Halbert - In: Econometric Theory 24 (2008) 04, pp. 829-864
We propose a nonparametric test of conditional independence based on the weighted Hellinger distance between the two conditional densities, <italic>f</italic>(<italic>y</italic>|<italic>x</italic>,<italic>z</italic>) and <italic>f</italic>(<italic>y</italic>|<italic>x</italic>), which is identically zero under the null. We use the functional delta method to expand the test statistic around the population value...