CONSISTENT SPECIFICATION TESTING FOR CONDITIONAL SYMMETRY

John Xu Zheng

Econometric Theory, 1998, vol. 14, issue 1, 139-149

Abstract: This paper presents a consistent specification test of conditional symmetry using a kernel method. The test statistic is shown to be asymptotically distributed as standard normal under the null hypothesis of conditional symmetry and consistent against any conditional asymmetric distribution. Power against local alternatives is also investigated. A Monte Carlo simulation is provided to evaluate the finite-sample performance of the test.

Date: 1998
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