A Robust Entropy-Based Test for Asymmetry

Esfandiar Maasoumi and Jeffrey Scott Racine ()

No 508, Departmental Working Papers from Southern Methodist University, Department of Economics

Abstract: We consider a metric entropy capable of detecting deviations from symmetry. A consistent test statistic is constructed from an integrated normed di®erence between two density functions estimated using ker- nel methods. The null distribution (symmetry) is obtained by resam- pling 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 level and power in the direc- tion of interesting alternatives, while applications to updated Nelson & Plosser (1982) data demonstrate its potential power gains relative to existing tests.

Date: Written 2003-05-26
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