Su, Liangjun; White, Halbert - Department of Economics, University of California-San … - 2003
Let f(y|x,z) (resp. f(y|x) be the conditional density of Y given (X,Z) (resp. X). We construct a class of `smoothed` empirical likelihood-based tests for the conditional independence hypothesis: Pr[f(Y|X,Z)=f(Y|X)]=1. We show that the test statistics are asymptotically normal under the null...