A Note on Testing for Skewness Persistence

Ravinder Nath
Additional contact information
Ravinder Nath: Department of Management Information Systems and Decision Science, Fogelman College of Business and Economics, The University of Memphis, Memphis, Tennessee 38152

Management Science, 1996, vol. 42, issue 1, 138-141

Abstract: This paper shows that the tests of skewness persistence considered by Muralidhar (Muralidhar, K. 1993. The bootstrap approach for testing skewness persistence. Management Sci. 39 487--491.) far exceed the true Type I error. That is, the probabilities of detecting an increase (decrease) in skewness from one time period to another when in fact there is no change are inflated. Consequently, higher power achieved by these tests comes at the cost of a higher than specified level of Type I error. We propose a new test which maintains the specified Type I error levels. Additionally, the power of this test for lognormal distributions is reported.

Keywords: Bootstrap method; skewness estimation; distribution of stock returns (search for similar items in EconPapers)
Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.42.1.138 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:42:y:1996:i:1:p:138-141

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().