A consistent nonparametric test for nonlinear causality—Specification in time series regression
非线性因果关系的一致非参数检验：时间序列回归设定
Since the pioneering work by Granger (1969), many authors have proposed tests of causality between economic time series. Most of them are concerned only with “linear causality in mean”, or if a series linearly affects the (conditional) mean of the other series. It is no doubt of primary interest, but dependence between series may be nonlinear, and/or not only through the conditional mean. Indeed conditional heteroskedastic models are widely studied recently. The purpose of…