This paper proposes a nonparametric test of Granger causality in quantile.Zheng (1998, Econometric Theory 14, 123–138) studied the idea to reduce the problem oftesting a quantile restriction to a problem of testing a particular type ofmean restriction in independent data. We extend Zheng’s approach to the caseof dependent data, particularly to the test of Granger causality inquantile. Combining the results of Zheng (1998) and Fan and Li (1999, Journal of Nonparametric Statistics 10,245–271), we establish the asymptotic normal distribution of the teststatistic under a β-mixing process. The test is consistentagainst all fixed alternatives and detects local alternatives approachingthe null at proper rates. Simulations are carried out to illustrate thebehavior of the test under the null and also the power of the test underplausible alternatives. An economic application considers the causalrelations between the crude oil price, the USD/GBP exchange rate, and thegold price in the gold market.
