Analytical Asymptotics of Test Statistic

Background: The development of novel econometric methods to detect predictive relationships between time series is an active area of research, especially when moving beyond linear dependencies in the conditional mean.

Question / Future Work: Investigate the asymptotic distribution of the M-vine test statistic under the null hypothesis for finite sample sizes $T$ to develop analytical critical values, rather than relying solely on simulation-based methods (like the resampling procedure in Step B).