COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

Lux et veritas

COWLES FOUNDATION DISCUSSION PAPER NO. 1106

A Nonparametric Test of Conditional Independence

Oliver Linton and Pedro Gozalo

1995

We propose a nonparametric test of conditional independence based on the empirical distribution function. The asymptotic null distribution is a mixture of chi-squares. A bootstrap procedure is proposed for calculating the critical values. Our test has power against alternatives at distance n-1/2 from the null. Monte Carlo simulations provide evidence on size and power. We apply the test to the Boston housing dataset.