Bootstrap Assisted Tests of Symmetry for Dependent Data

Zacharias Psaradakis and Marian Vavra ()

No WP 5/2018, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: TThe paper considers the problem of testing for symmetry (about an unknown centre) of the marginal distribution of a strictly stationary and weakly dependent stochastic process. The possibility of using the autoregressive sieve bootstrap and stationary bootstrap procedures to obtain critical values and P-values for symmetry tests is explored. Bootstrap-assisted tests for symmetry are straightforward to implement and require no prior estimation of asymptotic variances. The small-sample properties of a wide variety of tests are investigated using Monte Carlo experiments. A bootstrap-assisted version of the triples test is found to have the best overall performance.

Keywords: Autoregressive sieve bootstrap; Stationary bootstrap; Symmetry; Weak dependence (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2018-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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Working Paper: Bootstrap-Assisted Tests of Symmetry for Dependent Data (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1058

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