A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes

Esfandiar Maasoumi and Jeffrey Scott Racine ()
Authors registered in the RePEc Author Service: Esfandiar Maasoumi and Esfandiar Maasoumi ()

Econometric Reviews, 2009, vol. 28, issue 1-3, pages 246-261

Abstract: We consider a metric entropy capable of detecting deviations from symmetry that is suitable for both discrete and continuous processes. A test statistic is constructed from an integrated normed difference between nonparametric estimates of two density functions. The null distribution (symmetry) is obtained by resampling from an artificially lengthened series constructed from a rotation of the original series about its mean (median, mode). Simulations demonstrate that the test has correct size and good power in the direction of interesting alternatives, while applications to updated Nelson and Plosser (1982) data demonstrate its potential power gains relative to existing tests.

Keywords: Entropy; Kernel; Metric; Nonparametric; Symmetry; Time series (search for similar items in EconPapers)
Date: 2009

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Working Paper: A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes (2008)
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