A nonparametric approach to test for predictability

作者：Pan, Zhiyuan; Wang, Yudong^*; Wu, Chongfeng

来源：Economics Letters, 2016, 148: 10-16.

DOI：10.1016/j.econlet.2016.09.006

• Nonparametric test
• Predictability
• Size
• Power

Predictability of macroeconomic and financial variables is an important issue in economics. In this paper, we propose a nonparametric test for the predictability of the direction of price changes. The Monte Carlo simulation results show that our method displays better finite-sample property than the traditional parametric Granger causality test (Granger, 1969) and two nonparametric causality tests of Hiemstra and Jones (1994) and Diks and Panchenko (2006).

• 单位
  上海交通大学; 南京理工大学; 西南财经大学