A BOOTSTRAP APPROACH TO TEST THE CONDITIONAL SYMMETRY IN TIME SERIES MODELS

Alicia Pérez Alonso ()
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Alicia Pérez Alonso: Universidad de Alicante
Authors registered in the RePEc Author Service: Alicia Pérez-Alonso

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: This paper discusses how to test for conditional symmetry in time seriesregression models. To that end, we utilize the Bai and Ng test. We also examinethe performance of some popular (unconditional) symmetry tests for observationswhen applied to regression residuals. The tests considered include the coeficientof skewness, a joint test of the third and fifth moments, the Runs test, the Wilcoxonsigned-rank test and the Triples test. An easy-to-implement symmetric bootstrapprocedure is proposed to calculate critical values for these tests. Consistency of thebootstrap procedure will be shown. A simple Monte Carlo experiment isconducted to explore the finite-sample properties of all the tests.

Keywords: Near Epoch Dependence; Nonparametric tests; Conditional symmetry; Boot- strap; Monte Carlo simulation (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2006-07
New Economics Papers: this item is included in nep-ecm and nep-ets
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http://www.ivie.es/downloads/docs/wpasad/wpasad-2006-18.pdf Fisrt version / Primera version, 2006 (application/pdf)

Related works:
Journal Article: A bootstrap approach to test the conditional symmetry in time series models (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2006-18

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