Testing for marginal asymmetry of weakly dependent processes

Marian Vavra ()

No WP 1/2013, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: This article addresses the issue of testing for asymmetry of the marginal law of weakly dependent processes. A modified quantile-based symmetry test is considered. The test has an intuitive interpretation, it is easy and fast to calculate, follows a standard limiting distribution, and much importantly, it is robust against weak dependence of observations and outliers. The finite sample performance of the robust test is examined via Monte Carlo experiments. An empirical application using economic indicators is provided as well.

Keywords: marginal symmetry; sample quantiles; Monte Carlo experiments (search for similar items in EconPapers)
JEL-codes: C12 C14 C15 C22 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2013-09
New Economics Papers: this item is included in nep-ecm
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Related works:
Journal Article: A Quantile-based Test for Symmetry of Weakly Dependent Processes (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1022

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