A Comparative Study of Ten Asymmetry Tests

Thomas Holgersson

No 2011-4, JIBS Working Papers from Jönköping International Business School

Abstract: In this paper we investigate the properties of some common test for asymmetry. The tests are based on moments, order statistics and empirical characteristic functions (ecf) respectively. These tests have completely different origins, relies on different characterizations of symmetry and does hence have very different size and power properties. It is demonstrated that tests based on empirical characteristic functions are strongly dependent on the choice of working region and that some previously proposed tests may be improved considerably by using bootstrapped critical values. It is also concluded that no test is uniformly better than the others but that the ecf tests have best over-all properties.

Keywords: Asymmetry testing; Skewness; Empirical characteristic function; Order statistics; Multimodality. (search for similar items in EconPapers)
Pages: 18 pages
Date: 2011-08-24
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Persistent link: https://EconPapers.repec.org/RePEc:hhb:hjacfi:2011_004

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