Jeong, Kiho; Härdle, Wolfgang K.; Song, Song - In: Econometric Theory 28 (2012) 04, pp. 861-887
This paper proposes a nonparametric test of Granger causality in quantile. Zheng (1998, <italic>Econometric Theory</italic> 14, 123–138) studied the idea to reduce the problem of testing a quantile restriction to a problem of testing a particular type of mean restriction in independent data. We extend...