Nonparametric tests for conditional symmetry
Articles
Overview
published in
- Journal of Econometrics Journal
publication date
- December 2018
start page
- 447
end page
- 471
issue
- 2
volume
- 206
Digital Object Identifier (DOI)
International Standard Serial Number (ISSN)
- 0304-4076
Electronic International Standard Serial Number (EISSN)
- 1872-6895
abstract
- We propose omnibus tests for symmetry of the conditional distribution of a time series process about a nonparametric regression function. The test statistic is a weighted version of the integrated squared difference between the restricted and unrestricted estimators of the joint characteristic function of nonparametric residuals and explanatory variables, whose critical values are estimated with the assistance of a bootstrap technique. The test is sensitive to local alternatives converging to the null at the parametric rate , with the sample size. We investigate the finite sample performance of the test by means of Monte Carlo experiments and two empirical applications to test whether losses are more likely than gains in financial markets, and whether expansions and contractions are equally likely in business cycles, given the relevant information.
Classification
subjects
- Economics
keywords
- conditional symmetry; nonparametric testing; permutation; smoothing; time series data