A Bootstrap Test for Conditional Symmetry
Liangjun Su and
Annals of Economics and Finance, 2005, vol. 6, issue 2, 251-261
This paper proposes a simple consistent nonparametric test of conditional symmetry based on the principle of characteristic functions. The test statistic is shown to be asymptotically normal under the null hypothesis of conditional symmetry and consistent against any conditional asymmetric distributions. We also study the power against local alternatives, propose a bootstrap version of the test, and conduct a small Monte Carlo simulation to evaluate the finitesample performance of the test.
Keywords: Bootstrap; Conditional symmetry; Characteristic function; Test; U-statistics (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2005:v:6:i:2:p:251-261
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