Nonparametric tests for conditional symmetry in dynamic models

DOI10.1016/J.JECONOM.2006.10.011zbMATH Open1418.62192OpenAlexW2034438826MaRDI QIDQ289176FDOQ289176

Authors: J. Carlos Escanciano, Miguel 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

Recommendations

• Nonparametric tests for conditional symmetry
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zbMATH Keywords

bootstraptime seriesempirical processesconditional distributionsomnibus testssymmetry tests

Mathematics Subject Classification ID

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

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Cited In (32)

• Testing Conditional Mean Independence Under Symmetry
• A bootstrap approach to test the conditional symmetry in time series models
• A simple test for multivariate conditional symmetry
• Goodness-of-fit tests in semi-linear models
• A Consistent Nonparametric Test of Symmetry in Linear Regression Models
• A nonparametric test for conditional symmetry in nonstationary and absolutely regular dynamical models
• Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
• Testing conditional symmetry without smoothing
• Conditional \(L_ p\)-quantiles and their application to the testing of symmetry in non-parametric regression
• Nonparametric tests for conditional symmetry
• A quantile-based test for symmetry of weakly dependent processes
• Testing conditional asymmetry: a residual-based approach
• Nonparametric identification and estimation of sample selection models under symmetry
• Characteristic function of the order statistics of the Student's \(t\) distribution
• Dynamic responses to oil price shocks: conditional vs unconditional (a)symmetry
• Testing for symmetry and conditional symmetry using asymmetric kernels
• Powerful Backtests for Historical Simulation Expected Shortfall Models
• Conditional stochastic dominance tests in dynamic settings
• Consistent specification testing for conditional symmetry
• Pairwise distance-based tests for conditional symmetry
• Comments on: ``An updated review of goodness-of-fit tests for regression models
• Nonparametric Estimation and Symmetry Tests for Conditional Density Functions
• 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
• Tests for asymmetry in possibly nonstationary dynamic panel models
• A simple consistent test of conditional symmetry in symmetrically trimmed Tobit models
• Tests for conditional ellipticity in multivariate GARCH models
• Specification tests of parametric dynamic conditional quantiles
• A consistent test for conditional symmetry in time series models
• A non-parametric test of the symmetry of PSID wage--change distributions
• Bootstrap-assisted tests of symmetry for dependent data
• A nonparametric distribution-free test for serial independence of errors

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