Testing Conditional Symmetry Without Smoothing

Tao Chen and Gautam Tripathi

No 2011-01, Working papers from University of Connecticut, Department of Economics

Abstract: We test the assumption of conditional symmetry used to identify and estimate parameters in regression models with endogenous regressors without making any distributional assumptions. The specification test proposed here is computationally tractable, does not require nonparametric smoothing, and can detect n1/2-deviations from the null. Since the limiting distribution of the test statistic turns out to be a non-pivotal gaussian process, the critical values for implementing the test are obtained by simulation. In a Monte Carlo study we use the approach proposed here to test the assumption of conditional symmetry maintained in the seminal paper of Powell (1986b). Results from this finite sample experiment suggest that our test can work very well in moderately sized samples.

JEL-codes: C12 C14 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2011-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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Journal Article: Testing conditional symmetry without smoothing (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:uct:uconnp:2011-01

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