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econ.EM2021
Nonparametric Tests of Conditional Independence for Time Series
Xiaojun Song, Haoyu Wei
We propose consistent nonparametric tests of conditional independence for time series data. Our methods are motivated from the difference between joint conditional cumulative distr…
econ.EM2021
Data-driven Smooth Tests for Normality in ANOVA When the Number of Groups is Large
Peiwen Jia, Xiaojun Song, Haoyu Wei
The normality assumption for random errors is fundamental in the analysis of variance (ANOVA) models. However, it is rarely subjected to formal testing in practice, and theoretical…