作者：Zhiyuan Pan, Yudong Wang, Chongfeng Wu

期刊： Economics Letters

发表时间：2016年

摘要：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).

全文：A nonparametric approach to test for predictability

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