Nonparametric tests for conditional symmetry in dynamic models

DOI10.1016/j.jeconom.2006.10.011zbMath1418.62192OpenAlexW2034438826MaRDI QIDQ289176

Juan Carlos Escanciano, Miguel A. Delgado

Publication date: 27 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/2494

zbMATH Keywords

bootstraptime seriesempirical processesconditional distributionsomnibus testssymmetry tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)

Related Items (19)

Testing conditional asymmetry: a residual-based approach ⋮ Testing conditional symmetry without smoothing ⋮ CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS ⋮ Unnamed Item ⋮ New goodness-of-fit diagnostics for conditional discrete response models ⋮ A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models ⋮ Bootstrap-assisted tests of symmetry for dependent data ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ Goodness-of-fit tests in semi-linear models ⋮ ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS ⋮ A nonparametric test for conditional symmetry in nonstationary and absolutely regular dynamical models ⋮ Nonparametric tests for conditional symmetry ⋮ Pairwise distance-based tests for conditional symmetry ⋮ Comments on: ``An updated review of goodness-of-fit tests for regression models ⋮ Specification tests of parametric dynamic conditional quantiles ⋮ A simple consistent test of conditional symmetry in symmetrically trimmed Tobit models ⋮ A Quantile‐based Test for Symmetry of Weakly Dependent Processes ⋮ A Nonparametric Distribution-Free Test for Serial Independence of Errors ⋮ Testing for symmetry and conditional symmetry using asymmetric kernels

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