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

Esfandiar Maasoumi () and Jeffrey Scott Racine ()

Emory Economics from Department of Economics, Emory University (Atlanta)

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 dierence between nonparametric estimates of two den- sity functions. The null distribution (symmetry) is obtained by resampling from an arti cially 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 & Plosser (1982) data demonstrate its potential power gains relative to existing tests.

New Economics Papers: this item is included in nep-ecm
Date: 2008-10
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Journal Article: A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:emo:wp2003:0806

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