Bouezmarni, Taoufik; Rombouts, Jeroen V.K.; Taamouti, … - In: Journal of Business & Economic Statistics 30 (2012) 2, pp. 275-287
This article proposes a new nonparametric test for conditional independence that can directly be applied to test for Granger causality. Based on the comparison of copula densities, the test is easy to implement because it does not involve a weighting function in the test statistic, and it can be...
