A Consistent Nonparametric Test for Causality in Quantile



compact neighborhood Θ0 of 0, the set Θ = {v = Qθ (x) + μ | x G, μ Θ0} is compact
and for some constant
c0 0 , fy|x(v|x) c0 for all x G, vΘ . (vii) There is an
increasing sequence
sT of positive integers such that for some finite A ,

TT

— βsT/(3τ)(sτ) A , 1 sτ T for all T 1.

(A2) (i) we use product kernels for both L () and K () , let l and k be their
corresponding univariate kernel which is bounded and symmetric, then
l() is non-negative,

l() Yv, k() is non-negative and k() Y2.

(ii) h = O(T α ) for some 0 α ' (7 / 8)m .

p1

(iii) a= o(1) and ST=Ta(sTlogT)→∞ for some sT →∞

(iv) there exists a positive number δ such that for r = 2 +δ and a generic number M0

∫∫ 1 K
hm


z1


z2


r

dFz(z1)dFz(z2)M0<∞ and


h


M0 <∞


(v) for some δ ' (0 δ ' δ), β(T) = O(T-(2+δ ')/δ ).

The following definitions are due to Robinson (1988).

Definition (D1)   Yλ, λ1 is the class of even functions k: RR satisfying

uik(u)du=δi0      (i =0,1,K,λ-1),

R

k(u) = O ( (1 + uр+1+г )-1 ), for some ε > 0,

where δi is the Kronecker’s delta.
ij

Definition (D2)   A αμ , α>0, μ>0 is the class of functions g: RmR satisfying that

10



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