Bootstrap-Assisted Tests of Symmetry for Dependent Data

Zacharias Psaradakis and Márian Vávra
Additional contact information
Márian Vávra: Birkbeck Centre for Applied Macroeconomics, University of London
Authors registered in the RePEc Author Service: Marian Vavra ()

No 1806, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics

Abstract: The paper considers the problem of testing for symmetry (about an unknown centre) of the marginal distribution of a strictly stationary and weakly dependent stochastic process. The possibility of using the autoregressive sieve bootstrap and stationary bootstrap procedures to obtain critical values and P-values for symmetry tests is explored. Bootstrap-assisted tests for symmetry are straightforward to implement and require no prior estimation of asymptotic variances. The small-sample properties of a wide variety of tests are investigated using Monte Carlo experiments. A bootstrap-assisted version of the triples test is found to have the best overall performance.

Keywords: Autoregressive sieve bootstrap; Stationary bootstrap; Symmetry; Weak dependence. (search for similar items in EconPapers)
Date: 2018-07
References: Add references at CitEc
Citations:

Downloads: (external link)
https://eprints.bbk.ac.uk/id/eprint/26849 First version, 2018

Related works:
Working Paper: Bootstrap Assisted Tests of Symmetry for Dependent Data (2018)
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:bbk:bbkefp:1806

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics Malet Street, London WC1E 7HX, UK.
Bibliographic data for series maintained by ( this e-mail address is bad, please contact ).