Testing Conditional Independence via Rosenblatt Transforms

Kyungchul Song
2007 Social Science Research Network  
This paper proposes new tests of conditional independence of two random variables given a single-index involving an unknown ...nite dimensional parameter. The tests employ Rosenblatt transforms and are shown to be distribution free while retaining computational convenience. Some results from Monte Carlo simulations are presented and discussed.
doi:10.2139/ssrn.1012853 fatcat:5b4xolphdrbplcjziwgmm5rhpm