Sign Tests for Dependent Observations
Rustam Ibragimov and
Donald J. Brown
No 2099, Harvard Institute of Economic Research Working Papers from Harvard - Institute of Economic Research
The present paper introduces new sign tests for testing equality of conditional distributions of two (arbitrary) adapted processes as well as for testing conditionally symmetric martingale-difference assumptions. Our analysis is based on results that demonstrate randomization over ties in sign tests for equality of conditional distributions of two adapted sequences produces a stream of i. i. d. symmetric Bernoulli random variables. This reduces the problem of estimating the critical values of the tests to computing the quantiles or moments of Binomial or normal distributions. A similar proposition holds for randomization over zero values of three-valued random variables in a conditionally symmetric martyingale-difference sequence.
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